Parameter Restriction in Bayesian Estimation
Posted:
Sun Jun 28, 2015 2:17 pmby earsmall
Hi all. I have been trying to reproduce Lubik and Schorfheide's 2007 results.
In this paper, authors compare 2 models, unrestricted vs restricted by using posterior odds ratio.
Re: Parameter Restriction in Bayesian Estimation
Posted:
Sun Jun 28, 2015 6:28 pmby earsmall
Additionally, the restriction is that psi3 = 0 which is included in the monetary policy rule.
R = rho_R * R(-1) + (1-rho_R)*( psi1*pi + psi2*y + psi3*e ) + eps_R
I think if we impose restriction, psi3=0, priors of other parameters, rho_R, psi1 and psi2 should be changed.
How do you think?
Re: Parameter Restriction in Bayesian Estimation
Posted:
Sun Jul 05, 2015 4:01 pmby jpfeifer
Yes, you should compare the marginal data densities. The restrictions are imposed by not declaring the respective parameters as estimated parameters. That is, you can declare them in the
- Code: Select all
parameters
statement, but not in the
- Code: Select all
estimated_params
block.
Why would you want to change the priors when imposing a restriction?
Re: Parameter Restriction in Bayesian Estimation
Posted:
Mon Jul 06, 2015 1:14 amby earsmall
Thank you for your comment.
I also think that prior must be changed when imposing restriction
but according to the authors, they did use the same priors.