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VC - An estimator for linear (time series and panel) models with time-varying coefficients.
Author

Johannes Ludsteck
Organization: Institute for Employment Research (IAB)
Department: Department of Regional Economics
Revision date

2004-06-10
Description

VC implements Ekkehart Schlicht's method-of-moments based estimator for time varying coefficients. It allows estimation of linear time series and panel data models with coefficients following random walk processes. The estimator seems to do better than Kalman-Filter based Maximum Likelihood Estimation in small samples.
Package updated 11 Nov 2004 by the author.
Subject

*Mathematics > Probability and Statistics
Keywords

time-varying coefficients, time series analysis, state space estimation, Kalman Filter, econometrics
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VC-Demo.nb (83.1 KB) - Mathematica Notebook [for Mathematica 5.0]
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VC.m (8.8 KB) - Mathematica Package [for Mathematica 5.0]