| Tekijä: | Yang, C. Chen, W. |
| Otsikko: | Applying Kalman Filter on solving simultaneous equations with overidentifying rank restrictions: the analysis of the demand and supply model of medium-size scooter market in Taiwan |
| Lehti: | Economics of Planning
1997 : VOL. 30:1, p. 33-49 |
| Asiasana: | ECONOMICS PLANNING TAIWAN |
| Kieli: | eng |
| Tiivistelmä: | Once the structure form of demand and supply is translated into a reduced form , one can solve the reduced form with a state space model of the Kalman filter method. This paper discusses an innovation representation that links the structure form with the state space model. For the state space model, the recursive Expectation Maximization algorithm is used to estimate the parameters of a structure form. This research successfully applied in Kalman filter method to the estimation of the coefficients of simultaneous equations with overidentifying rank restrictions. |
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