Specification of Inverse Gamma Priors

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Specification of Inverse Gamma Priors

Postby mreames_unimelb » Sat Oct 09, 2010 3:12 am

Hi Dynare community,

I am trying to specify the following priors

1. Inverse gamma with mode = 1.5 and degrees of freedom = 4
2. Inverse gamma with mode = 0.001 and degrees of freedom = 2

I was wondering how I might do this since dynare requires I specify the mean and variance?

Regards,
mreames_unimelb
 
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Re: Specification of Inverse Gamma Priors

Postby StephaneAdjemian » Mon Oct 11, 2010 8:00 am

Hi,

The trick is that (with recent version of dynare >=4.1) it is possible to call a function inside the estimated_params block. I find more intuitive to define a non symmetric prior with the mode and the standard deviation, so instead of declaring a number for the prior mean I call a function computing the mean from the mode and the standard deviation (or the variance). This is done (for all prior shapes) in the matlab function
mode_and_variance_to_mean (this function is in the subfolder distributions of the dynare's matlab folder). You can write a function computing the mean and the standard deviation from the mode and the degrees of freedom (I am not sure it's possible to obtain the mapping analitically).

Best, Stéphane.
Stéphane Adjemian
Université du Maine, GAINS and DynareTeam
https://stepan.adjemian.eu
StephaneAdjemian
 
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