I am working on a macro paper where I need to imply time varying dynamic panel with stochastic volatility time coefficients, I would like to consider that coefficients are time varying and determined over time, better using drifting coefficients. The drifting coefficients enable to construct a time-varying measure for the mean of the endogenous variables. That means indicators included in the model affect economics variables over time stochastically..
Anyone one has a code for this?
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