Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062701 | Economics Letters | 2006 | 5 Pages |
Abstract
A pair of simple modifications-in the forecast error and forecast error variance-to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal and latent. Such recursions are broadly applicable to macroeconometric models, such as vector autoregressions and estimated dynamic stochastic general equilibrium models, that have one or more probit-type equation.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michael Dueker,