VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C
Ekkehart Schlicht ()
Software in Economics from University of Munich, Department of Economics
VCC implements Schlicht's method for estimating a linear regression with time-varying coefficients. The variances are estimated by a moments estimator or a related maximum likelihood 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.
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenso:719
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