Prediction, Filtering, and Smoothing in Nonlinear and Nonnormal Cases Using Monte-Carlo Integration

• Main Authors: Mariano, Roberto S., Tanizaki, Hisashi, Van Dijk, Herman, Monfort, Alain, Brown, B.W.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1994
• Subjects: Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/381
• Institution: Singapore Management University

A simulation-based non-linear filter is developed for prediction and smoothing in non-linear and/or nonnormal structural time-series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small...