Initial values of shocks stderr

[Leonid_65]

Hi Prof. Pfeifer and to all,
I have a theoretical question.
What Rules are there for setting initial values of shocks stderr ​at Bayesian estimation in Dynare?
Thank you,
Leonid.

[jpfeifer]

What do you mean with

@Leonid_65

values of shocks stderr

?
Usually people start at the prior mean or mode.

[Leonid_65]

Hi Prof. Pfeifer,
I have a theoretical question.
How to set the correct prior mean ​of stderr at Bayesian estimation for
some of the shocks, the earlier literature give less guidance.
Thank you,
Leonid

[jpfeifer]

Please see

Some questions regarding Bayesian estimation

As the name prior says, it incorporates your (subjective) prior knowledge about the parameters under consideration. It must not depend on the data! It is completely up to you to set it. Bad, but common practice is to use the priors of seminal papers like Smets/Wouters (2007) or Justiniano/Primiceri/Tambalotti. Please also see [DSGE Estimation - Imposing prior mean and std) and [Choosing an appropriate standard deviation for prior)

[Leonid_65]

Thanks for your prompt reply, jpfeifer!