In Dynare you can use stderr VARIABLE_NAME to estimate the standard error of a variable, but is it possible to estimate its variance directly (i.e., estimate its posterior distribution)? In an (unfinished) 2007 paper titled “Prior Distributions in Dynare”, Stephane Adjemian writes, “Note that if someone wishes to use an inverted gamma distribution as a prior, then he should use the INV_GAMMA2_PDF word in the estimated_params block. This distribution is often used as a prior for the variance of a structural shock or measurement error.”

Is it possible to estimate the variance of a variable directly, either through estimating a transform of stderr, or through some other means? I was hoping to do this, for the exogenous variable a - the stochastic component of an AR(1) process:

In the model block:

`#varianceofa=(stderr a)^2;`

And then in the estimated_params block:

`varianceofa, inv_gamma2_pdf, 0.5, 0.15;`

But it doesn’t seem to be possible to refer to stderr in the model block. Is it possible to do this or something like it in Dynare?