24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models

• Authors
  Mingxuan Song, Vrije University Amsterdam ; Bernhard van der Sluis, Erasmus University Rotterdam ; Yicong Lin, Vrije University Amsterdam
• Publication date
  September 27, 2024

• Keywords
  time-varying, bootstrap, nonparametric estimation, boosted Hodrick-Prescott filter, power-law trend, score-driven, state-space
• JEL
  C14, C22, C87