Discussion Paper
No. 2019-22 | 2019.03.08
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

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 | Author's Homepage
Thank you for your kind comments, for using VC and for sharing your experience!

Ekkehart Schlicht - Errata
April 16, 2019 - 09:05 | Author's Homepage
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 | Author's Homepage
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).