Estimating time-varying coefficients with the VC program

Ekkehart Schlicht

The estimation of models with time-varying coefficients is usually performed by Kalman-Bucy filtering. The two-sided filter proposed by Schlicht (1988) is statistically and computationally superior to the one-sided Kalman-Bucy filter. This paper describes the estimation procedure and the program package that implements the two-sided filter.

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Year of publication:	2003
Authors:	Schlicht, Ekkehart
Publisher:	München : Univ., Volkswirtschaftl. Fak.
Subject:	Kalman filtering \| Kalman-Bucy \| random walk \| time-varying coefficients \| adaptive estimation \| time-series \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Zustandsraummodell \| State space model \| Schätzung \| Estimation \| Random Walk \| Random walk

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Extent:	Online-Ressource (9 S.)
Series:	Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers. - München : Univ., ZDB-ID 2296321-2. - Vol. 2003-6
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/104115 [Handle]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010440935