Dear Johanes, dear all,
I am trying to understand better how priors are set up in Dynare. Apologies in advance if this is very basic. I set beta priors and I get densities that are balanced around the mean I set, but I would expect more skewness. Let me be more specific with an (abstract) example. I set
kappaa1 , beta_pdf , 0.56 , 0.1
According to my calculations, the corresponding parameters of the beta-distribution are alpha = 0.8198 and beta = 0.6442. Indeed, this is confirmed by running the following commands:
X = betarnd(0.8198, 0.6442, 1000000, 1);
var(X) will be arbitrarily close to 0.56 and 0.1 - up to a numerical error. However, the:
looks vastly different than the plot that Dynare produces for the prior. I am sure I am doing something wrong, or I misunderstood something… Thanks a lot!