Dynare forums

Greetings dear all,
I'm trying to use dynare codes for analyzing an DSGE-VAR model as Del Negro & Schorfheide(2003): "PRIORS FROM GENERAL EQUILIBRIUM MODELS FOR VARS" https://www.ecb.europa.eu/events/pdf/conferences/schorfheide.pdf.

In equations (30) and (31), about posterior distribution of PHI and SIGMA, I see that PHI and SIGMA are generated from an Inverted Wishart-Normal form. My question are:

1. In dynare codes ¿Where is done the extraction from Inverted Wishart-Normal form?. I ask this because I reviewed in http://www.dynare.org/dynare-matlab-m2html/matlab/dsge_var_likelihood.html and I didn't find one generating from an Inverted Wishart-Normal form.

2. I want to use this code: http://www.dynare.org/dynare-matlab-m2html/matlab/distributions/rand_inverse_wishart.html for generating a m-by-m matrix from an inverse Wishart distribution with parameters Tau and df, that is with df degrees of freedom and where Tau is a symmetric and positive definite matrix. Is it okay to use this syntax:

Code: Select all

rand_inverse_wishart(m, df, Chol(Tau))

for my purpose?

I'd appreciate it if you could reply to my question.

1.) That function only evaluates the posterior density. You do not need to generate anything from the Inverse Wishart normal. For IRFs, you need this.
2.) Please have a look at the call to rand_inverse_wishart.m in http://www.dynare.org/dynare-matlab-m2html/matlab/PosteriorIRF_core1.html

Thank you veru much.

Cheers

Aldo