ORCID: https://orcid.org/0000-0001-8227-5451
(June 2003):
Estimating Time-Varying Coefficients With the VC Program.
Discussion Papers in Economics
2003-6
[PDF, 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.
Item Type: | Paper |
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Keywords: | Kalman filtering, Kalman-Bucy, random walk, time-varying coefficients, adaptive estimation, time-series |
Faculties: | Economics Economics > Munich Discussion Papers in Economics Economics > Munich Discussion Papers in Economics > Statistical Methods Economics > Chairs > Chair of Institutional Economics (closed) |
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 |
Item ID: | 34 |
Date Deposited: | 13. Apr 2005 |
Last Modified: | 07. Nov 2020, 18:28 |