KALMAN FILTER MODEL WITH QUALITATIVE DEPENDENT-VARIABLES
成果类型：
Note
署名作者：
TANIZAKI, H
刊物名称：
REVIEW OF ECONOMICS AND STATISTICS
ISSN/ISSBN：
0034-6535
DOI：
10.2307/2110035
发表日期：
1993-11
页码：
747-752
关键词：
摘要：
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.
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