Hello, this is like Kulish and Pagan’s implementation, see docs.google.com/viewer?a=v&pid= … TU0Yzc4MTY. It sets up the state space representation with time-varying matrices which are defined before entering the Kalman filter. This means you can estimate the date of the break as well as the parameter values before and after the break.
The same process can be used to estimate ZLB durations – a sequence of ZLB durations implies a sequence of reduced forms, which then enter the Kalman filter. Shameless plug: see my work with Kulish and Rees here: dl.dropboxusercontent.com/u/7083910/OpenFG.pdf . Thanks!