VC Packages for Estimating Time-Varying Coefficients with Mathematica 8 - 11

Ludsteck, Johannes (2005): VC Packages for Estimating Time-Varying Coefficients with Mathematica 8 - 11.

Abstract

These Mathematica packages are updated versions of Johannes Ludstecks implementation of Schlicht's method for estimating a linear regression with time-varying coefficients, originally published at http://library.wolfram.com/infocenter/MathSource/5195/

• Dokumententyp: Software
• Keywords: Time-varying coefficients; state-space models; time series models
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Munich Discussion Papers in Economics ; Volkswirtschaft > Munich Discussion Papers in Economics > Statistische Methoden ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: C32
• Sprache: Englisch

Literaturliste

Ludsteck, Johannes (2004), "VC - An estimator for linear (time series and panel) models with time-varying coefficients", http://library.wolfram.com/infocenter/MathSource/5195/

Schlicht, Ekkehart (1989), "Variance Estimation in a Random Coefficients Model", paper presented at the Econometric Society European Meeting 1989 in Munich, Germany, https://epub.ub.uni-muenchen.de/59143/

Schlicht, Ekkehart and Ludsteck, Johannes (2006), "Variance Estimation in a Random Coefficients Model", Discussion Papers in Economics 904, University of Munich, Department of Economics. https://ideas.repec.org/p/lmu/muenec/904.html