I have been largely benefited from this forum every time I post a question or I am looking for a question someone had previously asked.

For today, my model is a TVP-PVAR in a normal linear state space model composed of the State Equation and the Measurement Equation. . There is a large amount of data, therefore I'm using numerous variables in the model. My model equations are the ones given below and for a panel after linearization panel where according to Ciccareli and Canova (2013) can be estimated as such. My model of equations are therefore defined .

Array
Where X ̃t=XtΞ and ut=Xt′+ut with Ut∼N(0,(I+σ2Xt′Xt))×Σ



Then this can be estimated a normal var or a bayesian var where the time variation is given by the unit root. Whether then the estimation is made by classic tolls or Bayesian vars is indifferent as long a the likelihood is well defined

I know that in Stata 17 there are some tools for estimating bayesian vars but could anyone of here be of help on how to procedure, eventually with a code. I

can provide data as long as I can find a good solution

I would immensely greatfull for any help