Kalman Filter Model with Qualitative Dependent Variables
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.
Volume (Year): 75 (1993)
Issue (Month): 4 (November)
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