Stefano Grassi, Nima Nonejad, and Paolo Santucci de Magistris,
"Forecasting with the Standardized Self-Perturbed Kalman Filter", 
Journal of Applied Econometrics, Vol. 32, No. 2, 2017, pp. 318-341.

The .zip file "gnm-codes.zip" contains two folders:

1) "Comparison": This folder contains MATLAB .m files for a comparison
between the SSP-KF and the Koop and Korobilis (2012,2013) estimator,
KK-KF.

2) "Replication-Empirical-Application": This folder contains MATLAB .m
files to replicate the estimation of the various TVP model 
specifications in equation (14) by SSP-KF. The data, contained in the
.mat file "Database_DanglHalling.mat", were downloaded from Amit
Goyal's website http://www.hec.unil.ch/agoyal/ and they are associated
with the following paper: 

"A Comprehensive Look at the Empirical Performance of Equity Premium
Prediction". 2008. Review of Financial Studies 21(4) 1455-1508. 

Both folders contain a Readme.txt file to explain the functions used
within the folder.

The PDF file "suplementary.gmn.pdf" contains supplementary material
and robustness checks to accompany the published paper.