An edition of Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
(2005)
Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
by Michael Dueker
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"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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Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
2005, Federal Reserve Bank of St. Louis
Electronic resource
in English
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Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 9/27/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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