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Part 1: Document Description
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Citation |
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Title: |
Estimating Dynamic Models Using Kalman Filtering |
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Identification Number: |
doi:10.7910/DVN/TRRVNY |
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Distributor: |
Harvard Dataverse |
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Date of Distribution: |
2009-12-21 |
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Version: |
1 |
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Bibliographic Citation: |
Nathaniel Beck, 2009, "Estimating Dynamic Models Using Kalman Filtering", https://doi.org/10.7910/DVN/TRRVNY, Harvard Dataverse, V1 |
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Citation |
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Title: |
Estimating Dynamic Models Using Kalman Filtering |
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Identification Number: |
doi:10.7910/DVN/TRRVNY |
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Authoring Entity: |
Nathaniel Beck |
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Producer: |
Political Analysis |
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Date of Production: |
1989 |
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Distributor: |
Harvard Dataverse |
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Distributor: |
Murray Research Archive |
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Date of Deposit: |
2009-12-21 |
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Holdings Information: |
https://doi.org/10.7910/DVN/TRRVNY |
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Study Scope |
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Abstract: |
The Kalman filter is useful to estimate dynamic models via maximum likelihood. To do this the model must be set up in state space form. This article shows how various models of interest can be set up in that form. Models considered are Auto Regressive-Moving Average (ARMA) models with measurement error and dynamic factor models. <br /><br /> The filter is used to estimate models of presidential approval. A test of rational expectations in approval shows the hypothesis not to hold. The filter is also used to deal with missing approval data and to study whether interpolation of missing data is an adequate technique. Finally, a dynamic factor analysis of government entrepreneurial activity is performed.<br /><br /> Appendices go through the mathematical details of the filter and show how to implement it in the computer l anguage GAUSS. |
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Methodology and Processing |
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Data Access |
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Notes: |
<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a> |
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Other Study Description Materials |
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Related Publications |
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Citation |
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Title: |
Nathaniel Beck. 1989. "Estimating Dynamic Models Using Kalman Filtering." Political Analysis, 1(1), 121-156. <a href= "http://pan.oxfordjournals.org/cgi/content/abstract/1/1/121" target= "_new">article available here</a> |
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Bibliographic Citation: |
Nathaniel Beck. 1989. "Estimating Dynamic Models Using Kalman Filtering." Political Analysis, 1(1), 121-156. <a href= "http://pan.oxfordjournals.org/cgi/content/abstract/1/1/121" target= "_new">article available here</a> |