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Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models

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  • Dueker, Michael

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.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4KNM9WJ-1/2/5f2885a3b6894ce59ed5bc5cb23e22fb
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 93 (2006)
Issue (Month): 1 (October)
Pages: 58-62

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Handle: RePEc:eee:ecolet:v:93:y:2006:i:1:p:58-62

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 24 Oct 1994.
  2. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-68, July.
  3. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  4. Michael Dueker, 2005. "Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 96-104, January.
  5. repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
  6. Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, vol. 95(379), pages 725-45, September.
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Cited by:
  1. Ali Genç, 2013. "Moments of truncated normal/independent distributions," Statistical Papers, Springer, vol. 54(3), pages 741-764, August.

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