Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
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- Michael J. Dueker, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Working Papers 2005-057, Federal Reserve Bank of St. Louis.
References listed on IDEAS
- Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
- Chib, Siddhartha & Greenberg, Edward, 1996.
"Markov Chain Monte Carlo Simulation Methods in Econometrics,"
Cambridge University Press, vol. 12(03), pages 409-431, August.
- Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, EconWPA, revised 23 Feb 1995.
- 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.
- Michael J. Dueker, 2003. "Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions," Working Papers 2001-012, Federal Reserve Bank of St. Louis.
- repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
- Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
- 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 725-745, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ali Genç, 2013. "Moments of truncated normal/independent distributions," Statistical Papers, Springer, vol. 54(3), pages 741-764, August.
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