Estimating time-varying coefficients with Gretl using the VC method
Ekkehart Schlicht · Open access LMU (Ludwid Maxmilian's Universitat Munchen) · 2022
This paper documents the function and use of the Gretl function package VCwrapper.pdf that implements the VC method for estimating time-varying coefficients in linear models as described in Schlicht (2021). It builds on the VCC program by Schlicht (2021a), is easy to use and highly configurable. It runs under Windows and Linux.