Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104115
Authors: 
Schlicht, Ekkehart
Year of Publication: 
2003
Series/Report no.: 
Munich Discussion Paper 2003-6
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

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