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

Schlicht, Ekkehart (2021): VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C. Version 6.

Abstract

VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments 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
• Keywords: Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares.
• Faculties: Economics > Munich Discussion Papers in Economics; Economics > Munich Discussion Papers in Economics > Mathematical Methods; 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: C2, C22, C51, C52
• Language: English

References

Gretl (2021). GNU Regression, Econometrics and Time-series Library. URL: http: //gretl. sourceforge.net/.

Jalles, João Tovar (2018). “On the Time-Varying Relationship Between Unemployment and Output: What shapes it?” In: Scottish Journal of Political Economy 66, pp. 605–630. DOI:10.1111/sjpe.12200.

Ludsteck, Johannes (2004). VC Package for Mathematica. URL: http://library.wolfram.com/ infocenter/MathSource/5195/.

Ludsteck, Johannes (2018). VC Packages for Estimating Time-Varying Coefficients with Mathematica 8 - 11. URL: https://epub.ub.uni-muenchen.de/59479/.

Schlicht, Ekkehart (2003). “Estimating Time-Varying Coefficients With the VC Program”. In: URL: https://epub.ub.uni-muenchen.de/719/.

Schlicht, Ekkehart (2005). “Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter”. In: Journal of the Japan Statistical Society 35, pp. 99–119. URL: https://doi.org/10.14490/jjss.35.99.

Schlicht, Ekkehart (2021a). “VC - A method for estimating time-varying coefficients in linear models”. In: Journal of the Korean Statistical Society. URL: https://doi.org/10.1007/s42952-021-00110-y.

Schlicht, Ekkehart (2021b). VC - A Program for Estimating Time-Varying Coefficients. Version 6. URL: https://doi.org/10.5282/ubm/epub.684.

Schlicht, Ekkehart (2021c). VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C. URL: https://epub.ub.uni-muenchen.de/75514.