Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models

by Michael J. Dueker

"A pair of simple modifications to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal. Such recursions are broadly applicable to macroeconometric models that have one or more probit-type equation, such as vector autoregressions and estimated dynamic stochastic general equilibrium models"--Federal Reserve Bank of St. Louis web site

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Year of publication:	July 2005
Other Persons:	Dueker, Michael (contributor)
Institutions:	Federal Reserve Bank of St. Louis (contributor)
Subject:	Bayes-Statistik \| Bayesian inference \| Makroökonometrie \| Macroeconometrics \| Theorie \| Theory \| Zustandsraummodell \| State space model \| Probit-Modell \| Probit model

Extent:	Online-Ressource, 7 p., text
Series:	Working paper. - Saint Louis, Mo., ZDB-ID 2135914-3. - Vol. 2005,057
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Also available in print System requirements: Adobe Acrobat Reader Mode of access: World Wide Web
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003115151