Discussion Paper

No. 2019-22 | March 08, 2019
Ekkehart Schlicht
VC - A method for estimating time-varying coefficients in linear models

Abstract

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.

JEL Classification:

C2, C22, C32, C51, C52

Assessment

  • Downloads: 67

Links

Cite As

Ekkehart Schlicht (2019). VC - A method for estimating time-varying coefficients in linear models. Economics Discussion Papers, No 2019-22, Kiel Institute for the World Economy. http://www.economics-ejournal.org/economics/discussionpapers/2019-22


Comments and Questions


Jaromir Baxa - Comment
March 15, 2019 - 11:46

See attached file

[ Download attached file ]

Ekkehart Schlicht - Thank you
March 15, 2019 - 14:27
| Author's Homepage

Thank you for your kind comments, for using VC and for sharing your experience!