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Estimating Time-Varying Coefficients With the VC Program

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Author Info
Schlicht, Ekkehart

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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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Publisher 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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Web page: http://www.vwl.uni-muenchen.de
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For technical questions regarding this item, or to correct its listing, contact: (Ekkehart Schlicht).

Related research
Keywords: 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

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  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. [Downloadable!]
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This page was last updated on 2008-7-17.

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