estimating parameters which are not "there"
Posted: Fri Dec 28, 2007 2:55 pmHi all,
it just occurred to me that Dynare strangely yield estimates of parameters which are NOT specified in the model section.
It seems that as along as you have declared a parameter and specified the prior, Dynare will go on and estimate it, no matter whether the parameter actually exists in the model.
This is especially strange in turns of posterior simulation, since the posterior-moments of the simulated "ghost"-parameters will not necessarily center around the prior...
Enclosed a simple ar(1)-test-mod.
Greets, Tomi
it just occurred to me that Dynare strangely yield estimates of parameters which are NOT specified in the model section.
It seems that as along as you have declared a parameter and specified the prior, Dynare will go on and estimate it, no matter whether the parameter actually exists in the model.
This is especially strange in turns of posterior simulation, since the posterior-moments of the simulated "ghost"-parameters will not necessarily center around the prior...
Enclosed a simple ar(1)-test-mod.
Greets, Tomi