This zip file contains Matlab code for replicating the two empirical
applications in Chan (2018). The first tests if stochastic volatility
is needed in an unobserved components model for modeling inflation
in G7 countries. The second tests if the NAIRU is time varying in a
bivariate unobserved components model for inflation and unemployment.

The main files are main_UCSV.m and main_NAIRU.m.

This code is free to use for academic purposes only, provided that the 
paper is cited as:

Chan, J.C.C. (2018). Specification Tests for Time-Varying Parameter 
Models with Stochastic Volatility, Econometric Reviews, 37(8), 807-823

This code comes without technical support of any kind. It is expected to
reproduce the results reported in the paper. Under no circumstances will
the author be held responsible for any use (or misuse) of this code in any way.