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
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

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Series:	Munich Discussion Paper ; 2003-6
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.34 [DOI] 812604539 [GVK] hdl:10419/104115 [Handle] RePEc:lmu:muenec:34 [RePEc]
Classification:	C22 - Time-Series Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010427377