日本学者中岛上智(Jouchi Nakajima)于2011年发表的Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications是TVP-VAR领域的经典文献,其同时在个人网站上(https://sites.google.com/site/jnakajimaweb/)分享了论文中估计TVP-VAR模型所用的Oxmetrics和MATLAB程序代码,由于OxMetrics软件较为小众,因此很多人会选择使用更为熟悉的MATLAB版本的代码。
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.