robust Bayesian estimation

Topics: Kalman Filtering
Jun 21, 2016 at 11:57 AM
Dear all,

I am new in Iris and have some problem in Bayesian estimation. I am using it to estimate some parameters from the model of Kalman filter for Output gap estimation( in other words it is MVHP filter) . I use quarterly data from 2005 to 2015. My posteriors are very sensitive to prior values, and if I expand the stds of prior distributions, it gives me the values close to 0. Do you think it is because of shortness of my time series?

Thank you in advance for your reply.