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[IrisToolbox] for Macroeconomic Modeling
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square root of inverse gamma distribution #65

Closed ikarib closed 6 years ago

ikarib commented 7 years ago

In Dynare we usually use two types of inverse gamma distributions: INV_GAMMA2_PDF for variance and INV_GAMMA1_PDF for the standard deviation of the transition or measurement shock. Please see the derivations at https://archives.dynare.org/phpBB3/download/file.php%3Fid=5955

IRIS currently only has type-2 distribution logdist.invgamma used only for the variance. Please add type-1 distribution for the standard deviation.

jaromir-benes commented 7 years ago

I have accepted the pull request, however, for bkw compatibility, I will rearrange the inv gamma distributions as follows in the next pre-release:

  1. I will bring back the function called logdist.invgamma to what it used to be before.
  2. I will introduce two new functions, logdist.invgamma1 and logdist.invgamma2, with the latter one simply shadowing the existing logdist.invgamma.

Best Jaromir

ikarib commented 7 years ago

I prefer how Dynare sets inv_gamma_pdf to inv_gamma1_pdf

jaromir-benes commented 7 years ago

Bkw compatibility, the bitch of all of us :)