System Priors on AR(2) Parameters #1
Description
Hello,
this is a question rather than a bug report. I am replicating a model from Tóth (2021) which contains an AR(2) process. One of the ways to deal with the stationarity condition is to impose a system prior (conjugate prior) on those parameters. However, while estimating the system prior is possible and further filtration seems to proceed correctly, I can't find a way to look up the posterior values of the system prior.
For example:
% parameters
...
% shocks
...
% system priors
z = SystemPriorWrapper.forModel(m);
z.addSystemPrior("c1_l_y_gap + c2_l_y_gap", distribution.Beta.fromMeanStd(0.7, 0.15), ...
"lowerBound=", 0, "upperBound=", 1 ...
);
...
[summary, pos, C, H, mest, v, delta, Pdelta] = estimate( ...
m, d, startHist:endHist, estimSpecs, z ...
, "MaxIter", 1000 ...
, "MaxFunEvals", 10000 ...
, "Solve", false ...
);
...
s = stats(pos, theta, logpost);
summary and s print out only the parameters with set individual priors. So my question is, is it possible to see the posterior values of the system prior (conjugate prior)?
Thank you very much and best regards,
Ngoc Nam Nguyen (Nordanis)