This procedure computes a prior density for
the structural parameters of the DSGE models
pshape: 0 is point mass, both para and p2 are ignored
1 is BETA(mean,stdd)
2 is GAMMA(mean,stdd)
3 is NORMAL(mean,stdd)
4 is INVGAMMA(s^2,nu)
5 is UNIFORM [p3,p4]0001 function lnprior = priordens(para, pshape, p1, p2, p3, p4) 0002 % This procedure computes a prior density for 0003 % the structural parameters of the DSGE models 0004 % pshape: 0 is point mass, both para and p2 are ignored 0005 % 1 is BETA(mean,stdd) 0006 % 2 is GAMMA(mean,stdd) 0007 % 3 is NORMAL(mean,stdd) 0008 % 4 is INVGAMMA(s^2,nu) 0009 % 5 is UNIFORM [p3,p4] 0010 0011 lnprior = 0; 0012 nprio = length(pshape); 0013 0014 i = 1; 0015 while i <= nprio; 0016 a = 0; 0017 b = 0; 0018 if pshape(i) == 1; % (generalized) BETA Prior 0019 mu = (p1(i)-p3(i))/(p4(i)-p3(i)); 0020 stdd = p2(i)/(p4(i)-p3(i)); 0021 a = (1-mu)*mu^2/stdd^2 - mu; 0022 b = a*(1/mu - 1); 0023 lnprior = lnprior + lpdfgbeta(para(i),a,b,p3(i),p4(i)) ; 0024 elseif pshape(i) == 2; % GAMMA PRIOR 0025 b = p2(i)^2/(p1(i)-p3(i)); 0026 a = (p1(i)-p3(i))/b; 0027 lnprior = lnprior + lpdfgam(para(i)-p3(i),a,b); 0028 elseif pshape(i) == 3; % GAUSSIAN PRIOR 0029 lnprior = lnprior + lpdfnorm(para(i),p1(i),p2(i)); 0030 elseif pshape(i) == 4; % INVGAMMA1 PRIOR 0031 lnprior = lnprior + lpdfig1(para(i),p1(i),p2(i)); 0032 elseif pshape(i) == 5; % UNIFORM PRIOR 0033 lnprior = lnprior + log(1/(p2(i)-p1(i))); 0034 elseif pshape(i) == 6; % INVGAMMA2 PRIOR 0035 lnprior = lnprior + lpdfig2(para(i),p1(i),p2(i)); 0036 end; 0037 i = i+1; 0038 end; 0039 0040 % 10/11/03 MJ adapted from an earlier version in GAUSS by F. Schorfheide 0041 % and translated to Matlab by R. Wouters 0042 % 11/18/03 MJ adopted M.Ratto's suggestion for inverse gamma 0043 % changed order of input parameters 0044 % 01/16/04 MJ added invgamma2 0045 % for invgamma p2 is now standard error 0046 % 16/02/04 SA changed beta prior call