RDP 2013-09: Terms of Trade Shocks and Incomplete Information Appendix C: Estimation Results – Full Information Model

Daniel Rees

July 2013 – ISSN 1320-7229 (Print), ISSN 1448-5109 (Online)

Table C1: Prior and Posterior Distributions – Full Information Model
Parameter Distribution Prior   Posterior
Mean SD Mode Mean 5% 95%
Exogenous processes – AR(1) coefficients
ρa Beta 0.80 0.10   0.98 0.98 0.97 0.99
ρm Beta 0.80 0.10   0.59 0.59 0.38 0.79
ρz Beta 0.80 0.10   0.98 0.98 0.98 0.99
ρg Beta 0.80 0.10   0.74 0.70 0.57 0.81
Exogenous processes – standard deviations (× 10−2)
σa Inv Gamma 0.50 1.00   0.70 0.70 0.61 0.79
σm Inv Gamma 0.50 1.00   0.15 0.16 0.10 0.24
σz Inv Gamma 0.50 1.00   1.20 1.20 1.06 1.40
σg Inv Gamma 0.50 1.00   0.13 0.15 0.09 0.21
Other parameters
ϕ Trunc 7.50 2.50   10.50 10.47 8.41 12.62
Normal              
Log marginal density −1,782.3