| Schlicht, Ekkehart (2003): Estimating Time-Varying Coefficients With the VC Program. Discussion Papers in Economics 2003-6 |
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114Kb |
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.
| Item Type: | Paper (Discussion Paper) |
|---|---|
| Keywords: | Kalman filtering, Kalman-Bucy, random walk, time-varying coefficients, adaptive estimation, time-series |
| Collections: | Economics Economics > Discussion Papers in Economics Economics > Discussion Papers in Economics > Statistical Methods |
| Subjects: | 300 Social sciences > 300 Social sciences, sociology and anthropology 300 Social sciences > 330 Economics |
| JEL Classification: | C22 |
| URN: | urn:nbn:de:bvb:19-epub-34-5 |
| Language: | English |
| ID Code: | 34 |
| Deposited On: | 13. Apr 2005 |
| Last Modified: | 22. May 2012 11:59 |
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