Hi all. I have been trying to reproduce Lubik and Schorfheide’s 2007 results.
In this paper, authors compare 2 models, unrestricted vs restricted by using posterior odds ratio.
Additionally, the restriction is that psi3 = 0 which is included in the monetary policy rule.
R = rho_R * R(-1) + (1-rho_R)( psi1pi + psi2y + psi3e ) + eps_R
I think if we impose restriction, psi3=0, priors of other parameters, rho_R, psi1 and psi2 should be changed.
How do you think?
Yes, you should compare the marginal data densities. The restrictions are imposed by not declaring the respective parameters as estimated parameters. That is, you can declare them in the parameters
statement, but not in the
block.
Why would you want to change the priors when imposing a restriction?
Thank you for your comment. 
I also think that prior must be changed when imposing restriction
but according to the authors, they did use the same priors.