VC - A Program for Estimating Time-Varying Coefficients
AbstractVC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that performs better than the corresponding likelihood estimator in small samples and coincides with the likelihood estimator in large samples. Instead of the usual parametrization by initial values, an orthogonal parametrization is used, and instead of the one-sided Kalman filter, a statistically superior two-sided filter is implemented. The program runs under Windows. The most recent version of the software is available at www.lrz.de/~ekkehart
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Bibliographic InfoSoftware component provided by University of Munich, Department of Economics in its series Software in Economics with number 684.
Programming language: executable
Date of creation: 2005
Date of revision:
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