|Schlicht, Ekkehart (2005): VC - A Program for Estimating Time-Varying Coefficients.|
This is the latest version of this item.
VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that performs better than the corresponding likelihood estimator in small samples and coincides with the likelihood estimator in large samples. Instead of the usual parametrization by initial values, an orthogonal parametrization is used, and instead of the one-sided Kalman filter, a statistically superior two-sided filter is implemented. The program runs under Windows. The most recent version of the software is available at www.lrz.de/~ekkehart
Economics > Chairs > Chair of Institutional Economics (closed)
|Subjects:||300 Social sciences > 300 Social sciences, sociology and anthropology|
300 Social sciences > 330 Economics
|Deposited On:||13. Sep 2005|
|Last Modified:||29. Apr 2016 08:49|