Hi,
If anyone could help me, I would like to know how to find the prior distributions of parameters? what kind of literature could you recommend me in order to handle better the subject?
Thank you so much in advance.
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Prior distribution
by lizzie3108 » Wed Apr 11, 2012 9:52 pm
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Re: Prior distribution
by jpfeifer » Wed Apr 18, 2012 8:14 pm
You cannot find priors. There is no true or best prior. The prior is your best estimate about the distribution of the parameter (based on previous/other information that is external to your data). See any textbook on Baysesian econometrics.
If you want to dig deeply about priors for DSGE models, see e.g. http://ideas.repec.org/a/eee/moneco/v55y2008i7p1191-1208.html
If you want to dig deeply about priors for DSGE models, see e.g. http://ideas.repec.org/a/eee/moneco/v55y2008i7p1191-1208.html
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