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Schlicht, Ekkehart ORCID logoORCID: 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]


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.

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