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.

What do you mean with [image] Leonid_65: values of shocks stderr ? Usually people start at the prior mean or mode.

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

Please see [image] Some questions regarding Bayesian estimation ML/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. …

Thanks for your prompt reply, jpfeifer!

Initial values of shocks stderr

General DSGE Modeling

jpfeifer 18 July 2019 07:04 4

Please see