VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C

Schlicht, Ekkehart (2005): VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C.

Abstract

VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator or a related maximum likelihood estimator. 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. This is the console version of the VC program. It includes binaries for Windows and Linux and the source code in C.

• Dokumententyp: Software
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• Sprache: Englisch