VC - A Program for Estimating Time-Varying Coefficients

Schlicht, Ekkehart (2022): VC - A Program for Estimating Time-Varying Coefficients. Version 7.

Abstract

VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that does not require the disturbances to be Gaussian, but if they are, it coincides with the corresponding maximum likelihood estimate in large samples. It has a direct descriptive interpretation and performs better than the corresponding likelihood estimator in small samples. The program runs under Windows.

• Dokumententyp: Software
• Keywords: Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares.
• 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 > 310 Statistiken ; 300 Sozialwissenschaften > 330 Wirtschaft
• JEL Classification: C2, C22, C51, C52
• Sprache: Englisch

Literaturliste

Gretl - Gnu Regression, Econometrics and Time-Series Library. http://gretl.sourceforge.net/.

Jalles (2018), João Tovar. “On the Time-Varying Relationship Between Unemployment and Output: What shapes it?” Scottish Journal of Political Economy 2018, vol. 66, pp. 605–630. https://doi.org/10.1111/sjpe.12200.

Schlicht, Ekkehart (2021), "VC - A Method For Estimating Time-Varying Coefficients in Linear Models", Journal of the Korean Statistical Society, https://link.springer.com/article/10.1007/s42952-021-00110-y.