Discussion Paper

No. 2019-22 | March 08, 2019
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.

JEL Classification:

C2, C22, C32, C51, C52


  • Downloads: 145


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

Ekkehart Schlicht - Thank you
March 15, 2019 - 14:27

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

Ekkehart Schlicht - Errata
April 16, 2019 - 09:05

In the meanwhile I became aware of some errata. I attach the file with the errata marked and hyperlinked with apologies especially to the referees.

Anonymous - Another erratum
April 25, 2019 - 17:35

I found another mistake: I gave again wrong dimensions for the vectors v and v_i. I attach a corrected version with my apologies.
If a reader or a referee finds some problems like that, you may ask in an anonymous comment and I will quickly respond (and correct, if necessary).