VC - A Program for Estimating Time-Varying Coefficients

Ekkehart Schlicht

Discussion Papers 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 does not require the disturbances to be Gaussian, but if they are, it coincides with the corresponding maximum likelihood estimate in large samples. It has a direct descriptive interpretation and performs better than the corresponding likelihood estimator in small samples. The program runs under Windows.

Keywords: Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares. (search for similar items in EconPapers)
JEL-codes: C2 C22 C51 C52 (search for similar items in EconPapers)
Date: 2022
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Downloads: (external link)
https://epub.ub.uni-muenchen.de/92509/1/VC-v7.zip (application/zip)

Related works:
Software Item: VC - A Program for Estimating Time-Varying Coefficients (2022)
Software Item: VC - A Program for Estimating Time-Varying Coefficients (2021)
Working Paper: VC - A Program for Estimating Time-Varying Coefficients (2021)
Software Item: VC - A Program for Estimating Time-Varying Coefficients (2005)
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