Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274067 
Year of Publication: 
2022
Series/Report no.: 
Munich Discussion Paper No. 2022-1
Publisher: 
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät, München
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.
Subjects: 
Kalman filtering
Kalman-Bucy
random walk
time-varying coefficients
adaptive estimation
time-series
Gretl
JEL: 
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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