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Kalman Filter Model with Qualitative Dependent Variables

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  • 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
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    References listed on IDEAS

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    1. Patrick Kline & Melissa Tartari, 2016. "Bounding the Labor Supply Responses to a Randomized Welfare Experiment: A Revealed Preference Approach," American Economic Review, American Economic Association, pages 972-1014.
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    7. Bhattacharya, Debopam & Dupas, Pascaline, 2012. "Inferring welfare maximizing treatment assignment under budget constraints," Journal of Econometrics, Elsevier, pages 168-196.
    8. Charles F. Manski, 2003. "Statistical treatment rules for heterogeneous populations," CeMMAP working papers CWP03/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," Econometrica, Econometric Society, vol. 66(5), pages 1017-1098, September.
    10. Patrick Kline & Melissa Tartari, 2016. "Bounding the Labor Supply Responses to a Randomized Welfare Experiment: A Revealed Preference Approach," American Economic Review, American Economic Association, pages 972-1014.
    11. Sergio Firpo & Nicole M. Fortin & Thomas Lemieux, 2009. "Unconditional Quantile Regressions," Econometrica, Econometric Society, vol. 77(3), pages 953-973, May.
    12. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
    13. Anderson, Michael L., 2008. "Multiple Inference and Gender Differences in the Effects of Early Intervention: A Reevaluation of the Abecedarian, Perry Preschool, and Early Training Projects," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1481-1495.
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    Cited by:

    1. Tanizaki, Hisashi, 1997. "Nonlinear and nonnormal filters using Monte Carlo methods," Computational Statistics & Data Analysis, Elsevier, pages 417-439.
    2. Alvaro Montenegro, 2005. "Introducción al filtro Kalman," DOCUMENTOS DE ECONOMÍA 002920, UNIVERSIDAD JAVERIANA - BOGOTÁ.
    3. 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.
    4. Fukasawa, T. & Basawa, I. V., 2002. "Estimation for a class of generalized state-space time series models," Statistics & Probability Letters, Elsevier, pages 459-473.

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