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/
Item Type: | Software |
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Keywords: | Time-varying coefficients; state-space models; time series models |
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: | C32 |
URN: | urn:nbn:de:bvb:19-epub-59479-2 |
Language: | English |
Item ID: | 59479 |
Date Deposited: | 13. Dec 2018, 09:17 |
Last Modified: | 04. Nov 2020, 13:38 |
References: | 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 |