Estimating time-varying coefficients with Gretl using the VC method

Schlicht, Ekkehart (25. January 2022): Estimating time-varying coefficients with Gretl using the VC method. Discussion Papers in Economics 2022-1

Abstract

This paper documents the function and use of the Gretl function package VCwrapper.pdf that implements the VC method for estimating time-varying coefficients in linear models as described in Schlicht (2021). It builds on the VCC program by Schlicht (2021a), is easy to use and highly configurable. It runs under Windows and Linux.

• Item Type: Paper
• Keywords: Kalman filtering, Kalman-Bucy, random walk, time-varying coefficients, adaptive estimation, time-series, Gretl
• Faculties: Economics; Economics > Munich Discussion Papers in Economics; 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: C22
• Language: English

References

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.

Schlicht, Ekkehart (2021a): VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C. Version 6, https://epub.ub.uni-muenchen.de/75514/