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Schlicht, Ekkehart ORCID: 0000-0001-8227-5451 (2022): VCwrapper. A function package for estimating time-varying coefficients in linear models with Gretl.
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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.