This is an attempt to translate the matlab code of Koop & Kurubillis (2013) - 'Large Time-Varying Parameter VAR" - into R. https://sites.google.com/site/dimitriskorobilis/matlab/large-time-varying-parameters-vars.
This material has been very usefull: https://cran.r-project.org/doc/contrib/Hiebeler-matlabR.pdf.