For economical time series quite a lot of Ox-packages exists. For State Space Models (Gaussian as well as non-Gaussian) the SsfPack package can be advantageous. Be aware though, that the non-Gaussian State Space model features are still very much under construction and undocumented - even though claimed otherwise by the authors in "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives".
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