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VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C

Author

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  • Schlicht, Ekkehart

Abstract

VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator. 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. This is the console version of the VC program. It includes binaries for Windows and Linux and the source code in C.

Suggested Citation

  • Schlicht, Ekkehart, 2021. "VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C," Discussion Papers in Economics 75514, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenec:75514
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    File URL: https://epub.ub.uni-muenchen.de/75514/1/VCC.zip
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    Cited by:

    1. António Afonso & José Alves & Olegs Matvejevs & Olegs Tkacevs, 2023. "Fiscal Sustainability and the Role of Inflation," Working Papers REM 2023/0303, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

    More about this item

    Keywords

    Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares.;
    All these keywords.

    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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