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Schlicht, Ekkehart (2005): VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C.

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Software

187kB

Abstract

VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator or a related maximum likelihood 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. The most recent version is available at www.lrz.de/~ekkehart