Below are the codes that have been used or produced for my research projects.
The estimation of time series models often involve using the Kalman filter to construct the likelihood function. The Matlab function and note below provide a Kalman filter and smoother routine that allows for an arbitrary number of structural breaks of the parameters and the use of series that are observed at mixed frequencies. A version of the code and note provided below have been used for the construction and publication of the National Financial Conditions Index (NFCI) and estimation of the Chicago Federal Reserve Bank's Dynamic Stochastic General Equilibrium (DSGE) model.
Generalized Kalman Filter & Smoother [Accompanying M-file]
A Practitioner's Guide and MATLAB Toolbox for Mixed Frequency State Space Models [Matlab Toolbox]
Below are some generalized tools that I have created for my own research projects.