Inverse gamma 1 & 2

Hello, can someone please tell me how to specify an inverse gamma prior?

Suppose I know that the technology shock has a standard deviation around 0.007 for a quarterly model.

What parameters should I input in the “stderr ea, inv_gamma_pdf” command if I want to attach more probability mass to my guess about the standard deviation?

What is the difference between inv_gamma1_pdf and inv_gamma2_pdf?

Can you point me to some reference where I can read more on this?

I would be very grateful!


Here is an unfinished note about priors in Dynare.

Hope it helps,
DynareDistributions.pdf (418 KB)

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Thank you, this is very useful.