VCwrapper

Schlicht, Ekkehart (2022): VCwrapper. A function package for estimating time-varying coefficients in linear models with Gretl.

Abstract

VCwrapper implements the VC method for estimating time-varying coefficients in linear models with Gretl (Gnu Regression, Econometrics and Time-series Library), as outlined in Schlicht (2021). This implementation is highly configurable and easy to use. It runs under Windows and Linux.

• Dokumententyp: Software
• Keywords: Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares; Gretl
• Fakultät: Volkswirtschaft > Munich Discussion Papers in Economics ; Volkswirtschaft > Munich Discussion Papers in Economics > Mathematische Methoden ; Volkswirtschaft > Munich Discussion Papers in Economics > Statistische Methoden ; Volkswirtschaft > Lehrstühle > Seminar für Theorie und Politik der Einkommensverteilung (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 300 Sozialwissenschaft, Soziologie ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: C2, C22, C51, C52
• Sprache: Englisch

Literaturliste

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.

Schlicht, Ekkehart (2021). “VC - A method for estimating time-varying coefficients in linear models”. In: Journal of the Korean Statistical Society 50, 1164–1196. URL: https: //doi.org/10.1007/s42952-021-00110-y.