VCwrapper

Ekkehart Schlicht

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

Abstract: VCwrapper implements the VC method for estimating time-varying coefficients in linear models with Gretl (Gnu Regression, Econometrics and Time-series Library), as outlined in Schlicht (2021). This implementation is highly configurable and easy to use. It runs under Windows and Linux.

Keywords: Time-series analysis; linear model; state-space estimation; time-varying coefficients; moments estimation; Kalman filtering; penalized least squares; Gretl (search for similar items in EconPapers)
JEL-codes: C2 C22 C51 C52 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenec:84584

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