Hi all,

here is a Gretl function package for estimating time-varying coefficients in linear models:

http://www.semverteilung.vwl.uni-muenchen.de/mitarbeiter/es/software/VCwrapper.zip

It is a wrapper script for binaries (32bit and 64bit) for Windows and Linux. The script has originally been outlined by Sven Schreiber (thank you a lot!) and further developed by myself. It includes a quite flexible plot function for lists of time series. For further details, see the documentation VCwrapper.pdf that is included in the package.

Here an example output:

I have included the source code for the binaries (written in C). If someone manages to compile a binary for  MacOS, I can try to include it in the package, but unfortunately  I have only very little expertise with Hansl scripting and none regarding MacOS; so maybe  I will fail to produce any useful result. But I would like to try.

If any problem occurs, please let me know! And I would appreciate further suggestions, of course.

Ekkehart

Ekkehart Schlicht
Professor emeritus of Economics
Department of Economics
Ludwig-Maximilians-Universität München
Research Fellow, IZA
www.semverteilung.vwl.uni-muenchen.de/ekkehart
ekkehart.schlicht@econ.lmu.de