VC - A Program for Estimating Time-Varying Coefficients

Ekkehart Schlicht ()

Software in Economics from University of Munich, Department of Economics

Abstract: VC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator that performs better than the corresponding likelihood estimator in small samples and coincides with the likelihood estimator in large samples. Instead of the usual parametrization by initial values, an orthogonal parametrization is used, and instead of the one-sided Kalman filter, a statistically superior two-sided filter is implemented. The program runs under Windows. The most recent version of the software is available at www.lrz.de/~ekkehart

Language: executable
Date: 2005

Downloads: (external link)
http://epub.ub.uni-m ... 684/1/VC-Install.zip

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Address: Schackstr. 4, D-80539 Munich, Germany
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