The system prior density file is a matlab function that requires 6 input variables and provides 1 output variable. The name that you can use for it is one that matlab supports for functions, i.e., it should only have English alpha-numeric characters. The 6 input variables are listed in Table 7 below. These variables are mainly used when solving the DSGE model, a feature which a system prior density function may require. In addition, the input variable DSGEModel may contain a field Solution, which when present has the fields A, H, R, F and B0 containing the solution of the DSGE model and its measurement equation.
The system prior density file can make use of internal YADA functions, such as SolveDSGEModel and the statistical distributions located in the dist directory.
|
||||||||||||
Table 7: Required input variables for the system prior density file. |
The required output variable of the function may be called logSP, measuring the natural logarithm of the height of the system prior density at theta, the current value of the DSGE model parameters.
Additional Information
• | A discussion about the setup of a system prior can be found in Sections 4.4, 7.4.6, and 17.2 of the YADA Manual. |
• | An example system prior density file is located in the directory "example\AnSchorfheide\data" directly below the base directory for YADA. The file is called "SystemPriorFile.m". |
• | System priors for DSGE models have been suggested in several papers; see Del Negro and Schorfheide (2008), Christiano, Trabandt and Walentin (2011), or Andrle and Benes (2013). |
Page url: http://www.texlips.net/yada/help/index.html?system_prior_density_file.htm