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Belief Parameters Prior File

 

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By default, YADA uses its own prior file for the three parameters directly connected with the adaptive learning setup. This prior file is located in the "learning\data" directory of YADA and is an excel spreadsheet setup as the prior file for the DSGE model parameters. The specific adaptive learning parameters are called "rhoAL", "sigmarAL" and "sigmaeAL" and reflect the persistence of the belief parameters and two scale factors for covariance matrices related to the belief coefficient innovations and the initial value of the one-step ahead belief coefficients in the Kalman filter.

Rather than using the default prior, which may be unsuited for the problem at hand, the user can select any alternative file.

 

Additional Information

A detailed discussion about the the perceived law of motion and the Kalman filter for the belief coefficients can be found in Section 17.1.2 of the YADA Manual.

 

 

 


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