I have been trying to reproduce the estimated results in Justiniano and Preston (2010).
In this paper, the priors for the standard deviations of the shocks are chosen as
“Inverse-Gamma 1 densities with infinite variance by fixing the degrees of freedom at 2.
The scale parameters are chosen to obtain a mean of 0.5”
However, in dynare, we can only specify means (p(1)) and standard deviations (p(2)) when imposing priors that follow inverse gamma distribution.
estimated_params ; ... ... stderr eps_z, , , , INV_GAMMA_PED, p(1), p(2) end;
Is there any way to specify p(1) and p(2) in this case?