Title: KALMAN FILTER MODEL WITH QUALITATIVE DEPENDENT VARIABLES.
Authors: Tanizaki, Hisashi
Abstract: In this paper, the time-varying parameter model based on the Kalman filter is combined with the binary choice model Next, estimation of the unknown parameters is examined without using any distribution. Finally, a money excess demand function is estimated as an application to the problem.
Subjects: KALMAN filtering; MONEY; DEMAND function; STOCHASTIC processes; CONTROL theory (Engineering)
Publication: Review of Economics & Statistics, 1993, Vol 75, Issue 4, p747
ISSN: 0034-6535
Publication type: Academic Journal
DOI: 10.2307/2110035

KALMAN FILTER MODEL WITH QUALITATIVE DEPENDENT VARIABLES.

Tanizaki, Hisashi