The programs in this folder replicate the estimation of the various
TVP model specifications in equation (14) by SSP-KF. Specifically, one
can consider the model specifications III-XII in Table 3 of the paper
and by commenting the lines associated with each model in Main.m
replicate the results. For instance, one can replicate Figure 2 by
running model 6.

Note: To run the programs you need to download the LM package
(elwcode10.zip) of Katsumi Shimotsu freely available at
http://shimotsu.web.fc2.com/Site/Matlab_Codes.html and the Econometric
package of James P. LeSage freely available at
http://www.spatial-econometrics.com/.

The matlab files are divided into the following groups

Main-> Runs the main program

We then have

(1): SPKF_SPKF_Selection: Perform single model estimation.

(2): SPKF_SPKF_Selection_RV: Perform single model estimation using
realized volatility in the conditional variance. 

(3): SPKF_SPKF_Selection_X: Same as (1), however we also consider
averagning over X's.

(4): SPKF_SPKF_Selection_X_RV: Same as (2), however we also consider
averagning over X's.

Each of these functions calls additional functions, which are also
contained in the folder.

