Logo Logo
Hilfe
Hilfe
Switch Language to English

Schlicht, Ekkehart ORCID logoORCID: https://orcid.org/0000-0001-8227-5451 (Juni 2003): Estimating Time-Varying Coefficients With the VC Program. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2003-6 [PDF, 117kB]

[thumbnail of schlicht_vc-info.pdf]
Vorschau
Download (117kB)

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.

Dokument bearbeiten Dokument bearbeiten