標題: 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
作者: Yang, CA
Chen, WD
交大名義發表
管理科學系
National Chiao Tung University
Department of Management Science
關鍵字: simultaneous equations;demand-supply functions;state space model;exogenous variables;endogenous variables
公開日期: 1-一月-1997
摘要: 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 (EM) algorithm is used to estimate the parameters of a structure form. This research successfully applied the Kalman filter method to the estimation of the coefficients of simultaneous equations with overidentifying rank restrictions. The empirical monthly data set came from the medium-size scooter market in Taiwan during 1987 to 1992 period.
URI: http://hdl.handle.net/11536/14244
ISSN: 0013-0451
期刊: ECONOMICS OF PLANNING
Volume: 30
Issue: 1
起始頁: 33
結束頁: 49
顯示於類別:期刊論文


文件中的檔案:

  1. A1997XC01500003.pdf