Dear Colleagues,

I have now written a completely new program package for Gretl called TVC that embodies the method described in my 2021 paper. It can be installed from Gretl by first clicking File->Function packages->On server... , then searching TVC and right-click on TVC and then click "install". It replaces my previous VCwrapper package.

The program runs much faster than previous versions and offers the possibility to use maximum-likelihood estimation rather than the default moments estimation. It gives the log likelihood for the selected specification for users who want to use a selection criterion such as AIC or BIC to decide which coefficients to treat as time-invariant rather than time-varying, or make use of this information in other ways.

The code is extensively commented and related to the equations in the paper by equation numbers. The documentation contains an appendix about the construction of the criterion function used. All this may make it easier to code the method in languages other than Hansl if needed.

I thank Sven Schreiber of the Gretl team for patiently helping me to get started with Hansl.

I hope that some of you may find this information useful.

Ekkehart Schlicht

PS: As I am a novice to Hansl scripting and not a programmer or econometrician, many of you may see immediately possibilities to add features or improve the package in other ways that I have not noticed. If anyone has suggestions in one way or another, I would be happy to see them.

-- 
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