论文信息 - Estimating Time-Varying Coefficients With the VC Program

Estimating Time-Varying Coefficients With the VC Program

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.

Ekkehart Schlicht | E. Schlicht

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