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System Prior Density File

 

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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.

theta

Vector with the current value of the DSGE model parameters.

thetaPositions

Structure with fields parameter and distribution.

ModelParameters

Structure with fields given by all the model parameter names and the fields taking scalar values. All model parameters includes the parameters to be estimated, the parameters that are calibrated, and the parameters that are functions of these two types of parameters.

AIMData

Structure with data collected by AIM about the model.

DSGEModel

Structure with fields containing all the information about a DSGE Model for YADA.

OrderQZ

Boolean which is true (1) when the built-in function ordqz is available, and false (0) otherwise.

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).

 

 


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