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Sampling from truncated prior distributions

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Sampling from truncated prior distributions

Postby ey2d » Sat Mar 25, 2006 7:43 pm

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
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Postby MichelJuillard » Sun Mar 26, 2006 9:21 am

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
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Postby ey2d » Sun Mar 26, 2006 2:18 pm

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
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Postby MichelJuillard » Sun Mar 26, 2006 4:35 pm

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.


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Michel
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