Dear Team Dynare,
Is there a straightforward way to impose improper diffuse priors on parameters for estimation in Dynare?
I’m particularly interested in imposing improper priors on standard errors for shocks. For a shock parameter (or any other parameter that is strictly positive but otherwise unbounded), a truly diffuse prior should be an improper prior with p_prior(sigma_shk) proportional to 1/sigma_shk (where sigma_shk is the standard deviation of the shock).
As it is, the closest I’ve come to a truly diffuse prior for shock parameters is a flat prior, but this is a poor substitute.
Any assistance here is appreciated.