Prior for the Long-Run (Giannone et al., JASA 2018)

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KOBE24
Posts: 51
Joined: Tue Jul 21, 2009 9:10 am

Prior for the Long-Run (Giannone et al., JASA 2018)

Unread post by KOBE24 »

Dear Tom,

I was wondering whether someone has tried to implement in RATS priors for the long-run like the ones by Giannone, Lenza and Primiceri (codes are available in MATLAB).
Since it is a very influential paper, I was asking myself whether you have already started reasoning on this.

Do you believe that is it feasible using the RATS routines made available by yourself and by Todd Clark? Or is there some technical issue to be overcome?

Thank you in advance for your help!
Regards
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KOBE24
Posts: 51
Joined: Tue Jul 21, 2009 9:10 am

Re: Prior for the Long-Run (Giannone et al., JASA 2018)

Unread post by KOBE24 »

Dear Tom,

sorry for insisting but I am struggling with coding the long-run prior by Giannone et al.
Would you have any hint or useful routine about that?

Thanks in advance for taking the time to answer.

Regards
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