Estimating Time-Varying Coefficients With the VC Program
AbstractThe 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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Bibliographic InfoPaper provided by University of Munich, Department of Economics in its series Discussion Papers in Economics with number 34.
Date of creation: Jun 2003
Date of revision:
Kalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-CMP-2003-07-10 (Computational Economics)
- NEP-ECM-2003-07-12 (Econometrics)
- NEP-ETS-2003-07-10 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Schlicht, Ekkehart, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics, University of Munich, Department of Economics.
- Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
- 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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