Estimating Time-Varying Coefficients With the VC Program
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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- Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
- Schlicht, Ekkehart, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics, University of Munich, Department of Economics.