ORCID: https://orcid.org/0000-0001-8227-5451
(2022):
VCwrapper. A function package for estimating time-varying coefficients in linear models with Gretl.
[ZIP, 4MB]
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.
Item Type: | Software |
---|---|
Keywords: | Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares; Gretl |
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 |
URN: | urn:nbn:de:bvb:19-epub-84584-3 |
Language: | English |
Item ID: | 84584 |
Date Deposited: | 25. Jan 2022, 06:07 |
Last Modified: | 03. Feb 2022, 08:28 |
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. 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. |