VC: a method for estimating time-varying coefficients in linear models

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. This estimator does not require that disturbances are normally distributed, but if they are, the proposed estimator is asymptotically equivalent to the maximum likelihood estimator.

[1]  P. Conway,et al.  Reforming China's Monetary Policy Framework to Meet Domestic Objectives , 2010 .

[2]  R. Horvath,et al.  HOW DOES MONETARY POLICY CHANGE? EVIDENCE ON INFLATION-TARGETING COUNTRIES , 2013, Macroeconomic Dynamics.

[3]  J. Jalles.  On the Cyclicality of Social Expenditure: New Time-Varying evidence from Developing Economies , 2019 .

[4]  Ekkehart Schlicht.  VCC - A Program for Estimating Time-Varying Coefficients. Console Version With Source Code in C , 2005 .

[5]  J. Nogueira.  Testing credibility with time-varying coefficients , 2009 .

[6]  C. Leser.  Estimation of Quasi-Linear Trend and Seasonal Variation , 1963 .

[7]  E. Schlicht,et al.  New Keynesian Theory and the New Phillips Curves: A Competing Approach , 2006 .

[8]  Prakash Loungani,et al.  Emissions and Growth: Trends and Cycles in a Globalized World , 2017 .

[9]  J. Keynes,et al.  The League of Nations Professor Tinbergen’s Method , 1939 .

[10]  Prakash Loungani,et al.  On the Determinants of the Okun’s Law: New Evidence from Time-Varying Estimates , 2019, Comparative Economic Studies.

[11]  Francisco López-Herrera,et al.  Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo , 2017 .

[12]  Jan Tinbergen,et al.  On a Method of Statistical Business-Cycle Research; a reply (to Keynes) , 1940 .

[13]  R. Horvath,et al.  Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? , 2011 .

[14]  Emissions and Growth: Trends and Cycles in a Globalized World , 2017 .

[15]  Christian R. Proaño,et al.  Topics in Applied Macrodynamic Theory , 2008 .

[16]  Ekkehart Schlicht.  Mend-A Mathematica package for mending time series with missing observations and structural breaks , 2011 .

[17]  Ekkehart Schlicht.  Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter , 2004 .

[18]  Descriptive seasonal adjustment by minimizing perturbations , 1982 .

[19]  E. Schlicht.  The moving equilibrium theorem again , 1997 .

[20]  António Afonso,et al.  Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data , 2011, SSRN Electronic Journal.

[21]  António Afonso,et al.  Sovereign debt composition and time-varying public finance sustainability , 2017 .

[22]  B. Silverman,et al.  Nonparametric Regression and Generalized Linear Models: A roughness penalty approach , 1993 .

[23]  António Afonso,et al.  Decomposing and Analysing the Determinants of Current Accounts’ Cyclicality: Evidence from the Euro Area , 2018, Open Economies Review.

[24]  J. Tinbergen.  On a Method of Statistical Business-Cycle Research. A Reply , 2007 .

[25]  R. Tibshirani,et al.  Varying‐Coefficient Models , 1993 .

[26]  J. Keynes.  Professor Tinbergen’s Method , 2007 .

[27]  António Afonso,et al.  Euro Area Time Varying Fiscal Sustainability , 2015 .

[28]  Ekkehart Schlicht.  Die Methode der Gleichgewichtsbewegung als Approximationsverfahren , 1978 .

[29]  Ekkehart Schlicht.  VC - A Program for Estimating Time-Varying Coefficients , 2005 .

[30]  E. Prescott,et al.  Postwar U.S. Business Cycles: An Empirical Investigation , 1997 .

[31]  Ekkehart Schlicht.  Trend Extraction from Time Series with Structural Breaks and Missing Observations , 2008 .

[32]  Carl Chiarella,et al.  Quantitative and empirical analysis of nonlinear dynamic macromodels , 2006 .

[33]  David V. Pritchett.  Econometric policy evaluation: A critique , 1976 .

[34]  J. Jalles.  Explaining Africa's public consumption procyclicality: Revisiting old evidence , 2020 .

[35]  Ekkehart Schlicht,et al.  Variance Estimation in a Random Coefficients Model , 2006, SSRN Electronic Journal.

[36]  Qizhi He,et al.  Research on the Dynamic Relationship between Prices of Agricultural Futures in China and Japan , 2012, J. Comput..

[37]  Ekkehart Schlicht,et al.  Local aggregation in a dynamic setting , 1990 .

[38]  J. Jalles,et al.  China Spillovers: New Evidence from Time-Varying Estimates , 2017 .

[39]  Wouter Den Haan,et al.  Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models , 2018, Journal of Monetary Economics.

[40]  Michael Athans,et al.  The Importance of Kalman Filtering Methods for Economic Systems , 1974 .

[41]  C. Leser.  A Simple Method of Trend Construction , 1961 .

[42]  J. Jalles.  On the Time‐Varying Relationship between Unemployment and Output: What Shapes it? , 2018, Scottish Journal of Political Economy.

[43]  B. Silverman,et al.  Nonparametric Regression and Generalized Linear Models: A roughness penalty approach , 1993 .

[44]  Theo K. Dijkstra,et al.  Pyrrho's lemma, or have it your way , 1995 .

[45]  Jianqing Fan,et al.  Statistical Estimation in Varying-Coefficient Models , 1999 .

[46]  R. Price,et al.  Have Long-term Financial Trends Changed the Transmission of Monetary Policy? , 2008 .

[47]  E. Schlicht.  A Seasonal Adjustment Principle and a Seasonal Adjustment Method Derived From this Principle , 1981 .

[48]  R. Lekachman.  The Collected Writings of John Maynard Keynes. Volume XIV. Economic Articles and Correspondence: The General Theory and After. Part II, Defense and Development by Donald Moggridge , 1974 .

[49]  António Afonso,et al.  Economic volatility and sovereign yields’ determinants: a time-varying approach , 2015, Empirical Economics.

[50]  Edward C. Prescott,et al.  An Adaptive Regression Model , 1973 .

[51]  J. Jalles,et al.  Fiscal counter-cyclicality and productive investment: evidence from advanced economies , 2018, The B.E. Journal of Macroeconomics.

[52]  António Afonso,et al.  Sovereign Debt Effects and Composition: Evidence from Time-Varying Estimates , 2017 .

[53]  Boris Cournéde,et al.  Restoring Fiscal Sustainability in the Euro Area: Raise Taxes or Curb Spending? , 2008 .

[54]  Edmund Taylor Whittaker.  On a New Method of Graduation , 1922, Proceedings of the Edinburgh Mathematical Society.

[55]  Seasonal adjustment in a stochastic model , 1983 .

[56]  W. G. Gilchrist,et al.  Methods of Estimation Involving Discounting , 1967 .

[57]  Cesar M. Rodriguez.  Financial development, fiscal policy and volatility: Their effects on growth , 2014 .

[58]  R. Lucas.  Econometric policy evaluation: A critique , 1976 .