Time Varying VAR with Errors Hetero and Exogenous Variables

[AhmedSahlool]

Hi,

I hope this finds you fine,

I would like to implement a TVP-VAR with Heteroskedastic errors, like that of Primiceri (2005). However, I would like to introduce some exogenous variables. Is there a code that handles this kind of models? Or could you kindly guide me how to modify an existing code to implement the model.

Thank you in advance,

Ahmed Sahloul

[TomDoan]

What do you mean by "exogenous"? Deterministic variables? or dynamic variables which are assumed exogenous?

[AhmedSahlool]

Hi,

I mean dynamic variables that are considered exogenous to the model