Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/104115 
Year of Publication: 
2003
Series/Report no.: 
Munich Discussion Paper No. 2003-6
Publisher: 
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät, München
Abstract: 
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.
Subjects: 
Kalman filtering
Kalman-Bucy
random walk
time-varying coefficients
adaptive estimation
time-series
JEL: 
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.