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Schlicht, Ekkehart ORCID: 0000-0001-8227-5451 (2021): VC - A Program for Estimating Time-Varying Coefficients. Version 6.

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Abstract

VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that does not require the disturbances to be Gaussian, but if they are, it coincides with the corresponding maximum likelihood estimate in large samples. It has a direct descriptive interpretation and performs better than the corresponding likelihood estimator in small samples. The program runs under Windows.