shrinkTVP

R package shrinkTVP: Efficient Bayesian Inference for Time-Varying Parameter Models with Shrinkage. Efficient Markov chain Monte Carlo (MCMC) algorithms for fully Bayesian estimation of time-varying parameter models with shrinkage priors. Details on the algorithms used are provided in Bitto and Frühwirth-Schnatter (2019) <doi:10.1016/j.jeconom.2018.11.006>.