Estimating time-varying coefficients with Gretl using the VC method

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:	München : Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
Subject:	Kalman filtering \| Kalman-Bucy \| random walk \| time-varying coefficients \| adaptive estimation \| time-series \| Gretl

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Series:	Munich Discussion Paper ; 2022-1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.34 [DOI] 1796228273 [GVK] hdl:10419/274067 [Handle]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10014327352