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Sampling from truncated prior distributions
Posted:
Sat Mar 25, 2006 7:43 pmby ey2d
Michel,
Is there a simple way to sample from a normal prior that is truncated? Or do I need to redefine parameters such that truncation is not necessary? This is not always easy to do.
Eric
Posted:
Sun Mar 26, 2006 9:21 amby MichelJuillard
Hi Eric,
no, at the moment, there is no way to draw from a truncated normal distribution to do simulation with stoch_simul.
I will add it in version 4.
Best
Michel
Posted:
Sun Mar 26, 2006 2:18 pmby ey2d
Michel,
Thanks. I was also wondering if you planned on adding a particle filter to the next version. It would facilitate the estimation of second-order solutions.
Eric
Posted:
Sun Mar 26, 2006 4:35 pmby MichelJuillard
Yes, but it is a more distant horizon. I know that Jesus Fernandez-Villaverde and Juan Rubio-Ramirez are making progress as it is obvious in their recent paper "Estimating Macroeconomic Models: A likelihood Approach". It will most likely help us.
Best
Michel