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- Thu Oct 06, 2016 8:11 am
- Forum: Econometric Discussions
- Topic: probit/logit state-space
- Replies: 1
- Views: 2426
Re: probit/logit state-space
the SSM model that you can run in EView should be linear in terms of state variable and has error terms following normal distribution, so you can't run time depend binary observation model. please refer to chapter 10.3. Durbin and Koopman's well known book, Time Series Analysis by SSM. you can use d...