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Schlicht, Ekkehart (Juni 2003): Estimating Time-Varying Coefficients With the VC Program. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 2003-6
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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.