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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, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics, University of Munich, Department of Economics.
  2. Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
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Cited by:
  1. Wolfgang Franz, 2005. "Will the (German) NAIRU Please Stand Up?," German Economic Review, Verein für Socialpolitik, vol. 6(2), pages 131-153, 05.

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