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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.

Suggested Citation

  • Schlicht, Ekkehart, 2003. "Estimating Time-Varying Coefficients With the VC Program," Discussion Papers in Economics 34, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenec:34
    as

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    File URL: https://epub.ub.uni-muenchen.de/34/1/schlicht_vc-info.pdf
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    References listed on IDEAS

    as
    1. Schlicht, Ekkehart, 1997. "The moving equilibrium theorem again," Economic Modelling, Elsevier, vol. 14(2), pages 271-278, April.
    2. Schlicht, Ekkehart, . "Approximation by Moving Equilibrium," Chapters in Economics,, University of Munich, Department of Economics.
    3. Schlicht, Ekkehart, . "Die Methode der Gleichgewichtsbewegung als Approximationsverfahren," Chapters in Economics,, University of Munich, Department of Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Kalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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