IDEAS home Printed from https://ideas.repec.org/a/tpr/restat/v75y1993i4p747-52.html
   My bibliography  Save this article

Kalman Filter Model with Qualitative Dependent Variables

Author

Listed:
  • 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. Copyright 1993 by MIT Press.

Suggested Citation

  • Tanizaki, Hisashi, 1993. "Kalman Filter Model with Qualitative Dependent Variables," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 747-752, November.
    • Handle: RePEc:tpr:restat:v:75:y:1993:i:4:p:747-52
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0034-6535%28199311%2975%3A4%3C747%3AKFMWQD%3E2.0.CO%3B2-U&origin=bc
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alvaro Montenegro, 2005. "Introducción al filtro Kalman," Documentos de Economía 2920, Universidad Javeriana - Bogotá.
    2. Du, Rex Yuxing & Kamakura, Wagner A., 2015. "Improving the statistical performance of tracking studies based on repeated cross-sections with primary dynamic factor analysis," International Journal of Research in Marketing, Elsevier, vol. 32(1), pages 94-112.
    3. Tanizaki, Hisashi, 1997. "Nonlinear and nonnormal filters using Monte Carlo methods," Computational Statistics & Data Analysis, Elsevier, vol. 25(4), pages 417-439, September.
    4. Naik, P. & Piersma, N., 2002. "Understanding the role of marketing communications in direct marketing," Econometric Institute Research Papers EI 2002-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    5. Fukasawa, T. & Basawa, I. V., 2002. "Estimation for a class of generalized state-space time series models," Statistics & Probability Letters, Elsevier, vol. 60(4), pages 459-473, December.
    6. Chung‐Hua Shen & David R. Hakes & Kenneth Brown, 1999. "Time‐Varying Response of Monetary Policy to Macroeconomic Conditions," Southern Economic Journal, John Wiley & Sons, vol. 65(3), pages 584-593, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tpr:restat:v:75:y:1993:i:4:p:747-52. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kelly McDougall (email available below). General contact details of provider: https://direct.mit.edu/journals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.