VC - A Method For Estimating Time-Varying Coefficients in Linear Models

Ekkehart Schlicht

No 12920, IZA Discussion Papers from Institute of Labor Economics (IZA)

Abstract: This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments estimates. They do not require the disturbances to be Gaussian, but if they are, the estimates are asymptotically equivalent to maximum likelihood estimates. In contrast to Kalman filtering, no specification of an initial state or an initial covariance matrix is required. While the Kalman filter is one sided, the VC filter is two sided and therefore uses more of the available information for estimating intermediate states.. Further, the VC filter has a clear descriptive interpretation.

Keywords: moments estimation; time-varying coefficients; state-space estimation; linear model; time-series analysis; Kalman filtering; penalized least squares (search for similar items in EconPapers)
JEL-codes: C2 C22 C32 C51 C52 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2020-01
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published - extended version published in: Journal of the Korean Statistical Society 2021

Downloads: (external link)
https://docs.iza.org/dp12920.pdf (application/pdf)

Related works:
Working Paper: VC - A Method For Estimating Time-Varying Coefficients in Linear Models (2019)
Working Paper: VC - A method for estimating time-varying coefficients in linear models (2019)
Working Paper: VC - A Method For Estimating Time-Varying Coefficients in Linear Models (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iza:izadps:dp12920

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().