Problem with Bayesian estimation

[jpfeifer]

1. Please read Pfeifer (2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models”
2. See

DSGE Estimation - Imposing prior mean and std

Please see [Choosing an appropriate standard deviation for prior) and if this does not answer your question, report back. Formal prior elicitation is done in Del Negro Schorfheide (2008) - Forming priors for DGSE models. Regarding the error message: you are using a beta distribution that implies the parameter is between 0 and 1. Given that no realizations can be bigger than 1 or smaller than 0, this limits the standard deviation that is possible. If you impose a mean of 0.86, the parameter can …

3. That depends on your model and process on hand.