Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
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- Dueker, Michael, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Economics Letters, Elsevier, vol. 93(1), pages 58-62, October.
References listed on IDEAS
- Chib, Siddhartha & Greenberg, Edward, 1996.
"Markov Chain Monte Carlo Simulation Methods in Econometrics,"
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- Siddhartha Chib & Edward Greenberg, 1994. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometrics 9408001, University Library of Munich, Germany, revised 23 Feb 1995.
- Michael Dueker, 2005.
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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.
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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.
- Michael Dueker & Katrin Assenmacher-Wesche, 2010.
"Forecasting macro variables with a Qual VAR business cycle turning point index,"
Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
- Michael J. Dueker & Katrin Wesche, 2005. "Forecasting macro variables with a Qual VAR business cycle turning point index," Working Papers 2001-019, Federal Reserve Bank of St. Louis.
More about this item
KeywordsMacroeconomics - Econometric models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-04 (All new papers)
- NEP-DCM-2005-10-04 (Discrete Choice Models)
- NEP-DGE-2005-10-04 (Dynamic General Equilibrium)
- NEP-ECM-2005-10-04 (Econometrics)
- NEP-ETS-2005-10-04 (Econometric Time Series)
- NEP-MAC-2005-10-04 (Macroeconomics)
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