A R package for the estimation of models with parsimoniously time varying-parameters, by Laurent Callot and Johannes Tang Kristensen.
This package permits the estimation of parsimoniously time-varying parameter models as in Vector Autoregressions with Parsimoniously Time-Varying Parameters and an Application to Monetary Policy.
The function ptvfit estimates the model given by a formula and returns a parsimonious object for which a plot and a print method are available.