Tanizaki, Hisashi; Mariano, Roberto S - In: Journal of Applied Econometrics 9 (1994) 2, pp. 163-79
A simulation-based non-linear filter is developed for prediction and smoothing in non-linear and/or non-normal structural time-series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a...