Estimating Time-Varying Coefficients With the VC Program

Schlicht, Ekkehart (June 2003): Estimating Time-Varying Coefficients With the VC Program. Discussion Papers in Economics 2003-6

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
• Subjects: Economics; Economics > Discussion Papers in Economics; Economics > Discussion Papers in Economics > Statistical Methods
• Dewey Classification: 300 Social sciences; 300 Social sciences > 330 Wirtschaft
• Journal of Economic Literature classification: C22
• Language: English