VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C

Ekkehart Schlicht

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

Abstract: VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator. 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. This is the console version of the VC program. It includes binaries for Windows and Linux and the source code in C.

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: 2021
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (1)

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https://epub.ub.uni-muenchen.de/75514/1/VCC.zip (application/zip)

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Software Item: VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:75514

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