Estimating time-varying coefficients with Gretl using the VC method

Arbeitspapier

This paper documents the function and use of the Gretl function package VCwrapper.pdf that implements the VC method for estimating time-varying coefficients in linear models as described in Schlicht (2021). It builds on the VCC program by Schlicht (2021a), is easy to use and highly configurable. It runs under Windows and Linux.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Munich Discussion Paper ; No. 2022-1

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Kalman filtering ; Kalman-Bucy ; random walk ; time-varying coefficients ; adaptive estimation ; time-series ; Gretl

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schlicht, Ekkehart
• Event: Veröffentlichung
• (who): Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
• (where): München
• (when): 2022

Further information

• DOI: doi:10.5282/ubm/epub.34
• Handle: http://hdl.handle.net/10419/274067
• URN: urn:nbn:de:bvb:19-epub-84611-4
• Last update: 10.03.2025, 11:45 AM CET