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Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.

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Name		Name	Last commit message	Last commit date
Latest commit History 74 Commits
.gitignore		.gitignore
Kalman Filter Estimation.R		Kalman Filter Estimation.R
Minn_prior_KOOP.R		Minn_prior_KOOP.R
Minn_prior_LITT.R		Minn_prior_LITT.R
Minn_prior_SIMS.R		Minn_prior_SIMS.R
README.md		README.md
Results.R		Results.R
carter_kohn.R		carter_kohn.R
create_RHS.R		create_RHS.R
densidade.R		densidade.R
kernel_PL.R		kernel_PL.R
main_script.R		main_script.R
mlag2.R		mlag2.R
mvfactor.R		mvfactor.R
mvnpdfs.R		mvnpdfs.R
mvnrnd.R		mvnrnd.R
repmat.R		repmat.R
squeeze.R		squeeze.R
standardize.R		standardize.R
standardize1.R		standardize1.R
transform.R		transform.R
transform_hstep.R		transform_hstep.R
transx.R		transx.R
wish.R		wish.R
yfcsta.R		yfcsta.R

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Large-TVP-VAR

This is an attempt to translate the matlab code of Koop & Kurubillis (2013) - 'Large Time-Varying Parameter VAR" - into R. https://sites.google.com/site/dimitriskorobilis/matlab/large-time-varying-parameters-vars.

This material has been very usefull: https://cran.r-project.org/doc/contrib/Hiebeler-matlabR.pdf.

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Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.

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