Estimating time-varying coefficients with Gretl using the VC method

Schlicht, Ekkehart (25. Januar 2022): Estimating time-varying coefficients with Gretl using the VC method. Münchener Wirtschaftswissenschaftliche Beiträge (VWL) 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.

• Dokumententyp: Paper
• Keywords: Kalman filtering, Kalman-Bucy, random walk, time-varying coefficients, adaptive estimation, time-series, Gretl
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Munich Discussion Papers in Economics ; 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: C22
• Sprache: Englisch

Literaturliste

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/