https://estima.com/procedures/stockwatsonjasa1998.zip has replication files for Stock and Watson(1998), "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model," JASA, vol 93, 349-358. This includes a procedure file for doing the table lookup which has an expanded table based upon a larger number of replications than in the paper. (The 5000 replications in the original paper have a rather considerable error).
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