Replication package:
"Linear models with time-varying parameters: a comparison of different approaches"
by Riccardo "Jack" Lucchetti and Francesco Valentini
Email: f.valentini@staff.univpm.it
Software requirements: gretl 2023c or above.
Additional gretl packages:
-
FLS (0.1 or above);
-
ketvals (1.1 or above);
-
TVC (1.2 or above).
Additional scripts:
-
tvar_kf.inp: includes routinres to perform the Kalman filter (KF) estimation;
-
tvc_mod.inp: a fork of the TVC functions. All visual and supplemental output suppressed to speed up Monte Carlo simulations.
Scripts for replication:
- 1_simple.inp --> replicates results in Section 3.1;
- 2_mc_tvp.inp --> replicates results in Table 2;
- 3_cpu_time.inp --> replicates results in Table 4 (up to hardware!)
- 4_application.inp --> replicates ECM results in Section 4;
- 5_mc_tvp_rob.inp --> replicates results in Table 3;
- 6_application_static.inp --> replicates static model in Section 4.
Other files:
- res_* : stores simulation results
- times_haavelmo: stored CPU times results