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VC - A Program for Estimating Time-Varying Coefficients

Author

Listed:
  • Schlicht, Ekkehart

Programming Language

executable

Abstract

VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that performs better than the corresponding likelihood estimator in small samples and coincides with the likelihood estimator in large samples. Instead of the usual parametrization by initial values, an orthogonal parametrization is used, and instead of the one-sided Kalman filter, a statistically superior two-sided filter is implemented. The program runs under Windows.

Suggested Citation

  • Schlicht, Ekkehart, 2005. "VC - A Program for Estimating Time-Varying Coefficients," Software in Economics 684, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenso:684
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    File URL: https://epub.ub.uni-muenchen.de/684/1/VC-Install.zip
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    Keywords

    executable;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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