Estimating Time-Varying Coefficients With the VC Program

Ekkehart Schlicht ()

Discussion Papers in Economics from University of Munich, Department of Economics

Abstract: 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.

Keywords: Kalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
Date: 2003-06
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Persistent link: http://EconPapers.repec.org/RePEc:lmu:muenec:34

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