Kalman Filter Model with Qualitative Dependent Variables.

A-Tier
Journal: Review of Economics and Statistics
Year: 1993
Volume: 75
Issue: 4
Pages: 747-52

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:tpr:restat:v:75:y:1993:i:4:p:747-52
Journal Field
General
Author Count
1
Added to Database
2026-01-29