Time-varying parameter (TVP) models

Reference:

• Nakajima, J. (2011) "Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications" Monetary and Economic Studies, 29, 107-142. 

TVP-VAR package: MCMC estimation for TVP-VAR models

 tvpvar_r.zip - for R

 tvpvar_m.zip - for Matlab

 tvpvar_ox.zip - for Ox

TVP-R package: MCMC estimation for TVP regression models

 tvpr_r.zip - for R

 tvpr_m.zip - for Matlab

 tvpr_ox.zip - for Ox