I would like to set two different priors for trend growth rates to accommodate salient changes in the long-run growth rates. For example, I would like to set the higher mean for the first sample period than for the second sample period. Justiniano, Primiceri, and Tambalotti (2011), "Investment shocks and the relative price of investment", have done the same things using their own Matlab codes. I wonder if it is possible in Dynare. I'd be very grateful if someone who knows how to implement it in Dynare shares his or her expertise.
Best regards,
Jinhyuk
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how to set different priors for trend growth rates
by invader21 » Wed Aug 17, 2016 9:38 am
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Re: how to set different priors for trend growth rates
by jpfeifer » Fri Aug 19, 2016 8:12 am
Currently, this is not possible. It is on our to-do-list. See http://www.dynare.org/DynareWiki/SubsamplesEstimation and http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=7994
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Re: how to set different priors for trend growth rates
by invader21 » Mon Aug 22, 2016 8:35 am
Dear Johannes,
thanks for your reply. I'll look into it on my own.
Best regards,
Jinhyuk
thanks for your reply. I'll look into it on my own.
Best regards,
Jinhyuk
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