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Dynare / dynare
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Stéphane Adjemian authored
- Use (old default) mode_compute=4 which is closer to the algorithm used by Frank Schorfheide and ensures that the hessian matrix is well behaved (contrary to the new default, because of the asymptote at 0 in the beta prior for autoregressive parameter ρ). - Change parameterization for mst. A normal prior on mst is not equivalent to a normal prior on log(mst) (which is done the parameterization in the JAE paper). Closes #2177.
Stéphane Adjemian authored- Use (old default) mode_compute=4 which is closer to the algorithm used by Frank Schorfheide and ensures that the hessian matrix is well behaved (contrary to the new default, because of the asymptote at 0 in the beta prior for autoregressive parameter ρ). - Change parameterization for mst. A normal prior on mst is not equivalent to a normal prior on log(mst) (which is done the parameterization in the JAE paper). Closes #2177.