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Estimating Time-Varying Coefficients With the VC Program

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  • Schlicht, Ekkehart

Abstract

The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filtering. The two-sided filter proposed by Schlicht (1988) is statistically and computationally superior to the one-sided Kalman-Bucy filter. This paper describes the estimation procedure and the program package that implements the two-sided filter.

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File URL: http://epub.ub.uni-muenchen.de/34/1/schlicht_vc-info.pdf
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Bibliographic Info

Paper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 34.

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Date of creation: Jun 2003
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Handle: RePEc:lmu:muenec:34

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Related research

Keywords: Kalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series;

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References

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  1. Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
  2. Schlicht, Ekkehart, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics, University of Munich, Department of Economics.
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Cited by:
  1. Franz, Wolfgang, 2003. "Will the (German) NAIRU Please Stand up?," ZEW Discussion Papers 03-35, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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