Estimating Time-Varying Coefficients With the VC Program

The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filtering. The two-sided filter proposed by Schlicht (1988) is statistically and computationally superior to the one-sided Kalman-Bucy filter. This paper describes the estimation procedure and the program package that implements the two-sided filter.

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Year of publication:	2003-06
Authors:	Schlicht, Ekkehart
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Kalman filtering \| Kalman-Bucy \| random walk \| time-varying coefficients \| adaptive estimation \| time-series

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Extent:	application/pdf
Series:	Discussion Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649811