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Estimating time-varying coefficients with Gretl using the VC method

Author

Listed:
  • Schlicht, Ekkehart
Abstract
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.

Suggested Citation

  • Schlicht, Ekkehart, 2022. "Estimating time-varying coefficients with Gretl using the VC method," Discussion Papers in Economics 84611, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:muenec:84611
    as

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    File URL: https://epub.ub.uni-muenchen.de/84611/1/VCwrapper.pdf
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    More about this item

    Keywords

    Kalman filtering; Kalman-Bucy; random walk; time-varying coefficients; adaptive estimation; time-series; Gretl;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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