Logo Logo
Help
Contact
Switch Language to German
Schlicht, Ekkehart (June 2003): Estimating Time-Varying Coefficients With the VC Program. Discussion Papers in Economics 2003-6
[img]
Preview
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.