Estimating time-varying coefficients with Gretl using the VC method
Year of publication: |
2022
|
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Authors: | Schlicht, Ekkehart |
Publisher: |
München : Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät |
Subject: | Kalman filtering | Kalman-Bucy | random walk | time-varying coefficients | adaptive estimation | time-series | Gretl |
Series: | Munich Discussion Paper ; 2022-1 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.34 [DOI] 1796228273 [GVK] hdl:10419/274067 [Handle] |
Classification: | C22 - Time-Series Models |
Source: |
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Estimating time-varying coefficients with Gretl using the VC method
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