This is a Gretl function package that implements the VC method for estimating time-varying coefficients of linear models. The method used is described in Schlicht (2021).

For using the software the gretl software must be installed from http://gretl.sourceforge.net/Run the program open the Gretl console (third button at the lower edge of the main window) and type:

pkg install https://epub.ub.uni-muenchen.de/84584/VCwrapper.zip

Close the console, double-click on the fn-button (fifth button at the bottom of Gretl's main window) and follow the instructions.  

The software comes without any warranty. It is published under the GNU General Public License https://www.gnu.org/licenses/gpl-3.0.html and is free for non-commercial use. 

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.

Ekkehart Schlicht
schlicht@lmu.de
January 2022