Hi everyone,
Recently I am studying the replication code of Smets and Wouters (2007). I want to know how the initial value of a parameter is set. For example, in this line:
estimated_params;
stderr ea,0.4618,0.01,3,INV_GAMMA_PDF,0.1,2;
where does the 0.4618 come from? I can’t find it in the paper and I found that the estimation result quite depends on the initial value being set. Thanks!