Estimating time-varying coefficients with Gretl using the VC method

Ekkehart Schlicht

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.

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Year of publication:	[2022]
Authors:	Schlicht, Ekkehart
Publisher:	Munich : Department of Economics, University of Munich
Subject:	Kalman filtering \| Kalman-Bucy \| random walk \| time-varying coefficients \| adaptive estimation \| time-series \| Gretl \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Zustandsraummodell \| State space model \| Schätzung \| Estimation \| Random Walk \| Random walk

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Extent:	1 Online-Ressource (circa 11 Seiten) Illustrationen
Series:	Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers. - München : Univ., ZDB-ID 2296321-2. - Vol. no. 2022, 1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.34 [DOI] hdl:10419/274067 [Handle]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

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