Could dynare estimate the covariance of exogenous shocks?

Dynare help (legacy posts)
1

Hi,
I’m trying to research the relationship between different exogenous shocks, and the dynare.pdf says that we can set correlation or covariance.
So could I set the prior distribution of correlation or corariance， and then estimate the posterior distribution of correlation or corariance with data?
For example:

shocks;
var e_a e_b; stderr 0.1; (or) corr e_a e_b; stderr 0.1;
end;

estimate;
stderr e_a e_b,inv_gamma_pdf,0.1,inf;
end;

Thank you.

2

Yes, you can. See e.g. github.com/DynareTeam/dynare/blob/master/tests/measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod

3

Thank you so much!