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.

• Item Type: Software
• Faculties: Economics; Economics > Chairs > Chair of Institutional Economics (closed)
• Subjects: 300 Social sciences > 300 Social sciences, sociology and anthropology; 300 Social sciences > 330 Economics
• Language: English