47 lines
1.5 KiB
Matlab
47 lines
1.5 KiB
Matlab
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function lnprior = priordens(para, pshape, p1, p2, p3, p4)
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% This procedure computes a prior density for
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% the structural parameters of the DSGE models
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% pshape: 0 is point mass, both para and p2 are ignored
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% 1 is BETA(mean,stdd)
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% 2 is GAMMA(mean,stdd)
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% 3 is NORMAL(mean,stdd)
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% 4 is INVGAMMA(s^2,nu)
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% 5 is UNIFORM [p3,p4]
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lnprior = 0;
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nprio = length(pshape);
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i = 1;
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while i <= nprio;
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a = 0;
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b = 0;
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if pshape(i) == 1; % (generalized) BETA Prior
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mu = (p1(i)-p3(i))/(p4(i)-p3(i));
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stdd = p2(i)/(p4(i)-p3(i));
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a = (1-mu)*mu^2/stdd^2 - mu;
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b = a*(1/mu - 1);
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lnprior = lnprior + lpdfgbeta(para(i),a,b,p3(i),p4(i)) ;
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elseif pshape(i) == 2; % GAMMA PRIOR
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b = p2(i)^2/(p1(i)-p3(i));
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a = (p1(i)-p3(i))/b;
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lnprior = lnprior + lpdfgam(para(i)-p3(i),a,b);
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elseif pshape(i) == 3; % GAUSSIAN PRIOR
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lnprior = lnprior + lpdfnorm(para(i),p1(i),p2(i));
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elseif pshape(i) == 4; % INVGAMMA1 PRIOR
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lnprior = lnprior + lpdfig1(para(i),p1(i),p2(i));
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elseif pshape(i) == 5; % UNIFORM PRIOR
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lnprior = lnprior + log(1/(p2(i)-p1(i)));
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elseif pshape(i) == 6; % INVGAMMA2 PRIOR
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lnprior = lnprior + lpdfig2(para(i),p1(i),p2(i));
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end;
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i = i+1;
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end;
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% 10/11/03 MJ adapted from an earlier version in GAUSS by F. Schorfheide
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% and translated to Matlab by R. Wouters
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% 11/18/03 MJ adopted M.Ratto's suggestion for inverse gamma
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% changed order of input parameters
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% 01/16/04 MJ added invgamma2
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% for invgamma p2 is now standard error
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% 16/02/04 SA changed beta prior call
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