probit/logit state-space

[igoracmorais]

Hi, anyone knows how to estimate/put a probit/logit model in a state-space format?
Thank you

[NFL]

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 dlm package if you want to do so.