Kalman Filtering with Truncated Normal State Variables for Bayesian Estimation of Macroeconomic Models

A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector autoregressions and estimated dynamic stochastic general equilibrium models

MoreLess

Year of publication:	2005
Authors:	Dueker, Michael
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Makroökonometrie \| Macroeconometrics \| Zustandsraummodell \| State space model \| Bayes-Statistik \| Bayesian inference \| Probit-Modell \| Probit model

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (9 p)
Series:	FRB of St. Louis Working Paper ; No. 2005-057B
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2006 erstellt
Other identifiers:	10.2139/ssrn.840185 [DOI]
Classification:	C32 - Time-Series Models ; C35 - Discrete Regression and Qualitative Choice Models ; E37 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014061520