Skip to content
GitLab
Projects Groups Snippets
  • /
  • Help
    • Help
    • Support
    • Community forum
    • Submit feedback
    • Contribute to GitLab
  • Sign in / Register
  • dynare dynare
  • Project information
    • Project information
    • Activity
    • Labels
    • Members
  • Repository
    • Repository
    • Files
    • Commits
    • Branches
    • Tags
    • Contributors
    • Graph
    • Compare
  • Issues 118
    • Issues 118
    • List
    • Boards
    • Service Desk
    • Milestones
  • Merge requests 4
    • Merge requests 4
  • CI/CD
    • CI/CD
    • Pipelines
    • Jobs
    • Schedules
  • Deployments
    • Deployments
    • Environments
    • Releases
  • Packages and registries
    • Packages and registries
    • Container Registry
  • Monitor
    • Monitor
    • Incidents
  • Analytics
    • Analytics
    • Value stream
    • CI/CD
    • Repository
  • Wiki
    • Wiki
  • Snippets
    • Snippets
  • Activity
  • Graph
  • Create a new issue
  • Jobs
  • Commits
  • Issue Boards
Collapse sidebar
  • DynareDynare
  • dynaredynare
  • Issues
  • #846
Closed
Open
Issue created Feb 12, 2015 by Johannes Pfeifer@JohannesPfeiferDeveloper

Provide inverse gamma prior with indeterminate moments

We currently only allow specifying inverse gamma priors with finite/unique mean and variance. But Leeper/Walker/Yang (2010) in an influential paper use an inverse gamma prior with s=1 and nu=4 (parametrization as at http://en.wikipedia.org/wiki/Inverse-gamma_distribution), which implies non-existing first and second moments. I would suggest to provide a new prior inv_gamma_parametrized that takes the values provided in the mean and standard deviation fields of the estimated_params-block directly as the parameters of the distribution, thereby avoiding the impossible transformation from mean and variances. I would implement this when doing #520 (closed)

Edited Aug 02, 2021 by Johannes Pfeifer
Assignee
Assign to
Time tracking