Visualizing / Calculating priors’ PDF

Estimation ML/Bayesian estimation

jpfeifer 6 March 2023 13:54 4

Please have a look at

Inverse gamma prior type ML/Bayesian estimation

From @stepan-a’s “Prior distributions in Dynare” (https://archives.dynare.org/phpBB3/download/file.php%3Fid=148) Note that the sole difference between an inverted gamma distribution and the inverted gamma distribution of type II is in the parameterization of the shape and scale parameters. If the prior distribution is defined by its first and second moments, this difference does not matter.

and

Inverse gamma distribution in Dynare and YADA ML/Bayesian estimation

A short note that discusses the specification/parameterisation of the inverse gamma distribution in Dynare and YADA. InverseGammaDistribution.pdf (93.7 KB)

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