In the MH algorithm, the idea is not to reject or accept too often a candidate parameter. Accordingly, the literature has settled on a acceptance rate of between 0.2 and 0.4 by adjusting the jump scale (in Dynare, the default jump scale is 0.2).
In my mode, I set as following
mh_nblocks = 10,
mh_drop = 0.4,
mh_jscale = 0.2
at the beginning I set the jump scale of 0.2 as a default number, but it yields a relative higher acceptance ratio of 0.445. This acceptance ratio is not good since it does not lie btw the range between 0.2 and 0.4 suggested by the literature.
Then, I increase the jump scale from the default level of 0.2 to 0.3.
As a result, the acceptance ratio in the first MH Chain fluctuates around 0.23. This acceptance ratio is good since it lies btw the range between 0.2 and 0.4 suggested by the literature.
However, the acceptance ratio reduces to 0.104 in the second MH Chain, which does not lie btw the range between 0.2 and 0.4 suggested by the literature. It seems to imply that the parameter candidates are likely to locate in regions of low probability density.
So my question is how to adjust the jump scale to have a ‘reasonable’ acceptance ratito of between 0.2 and 0.4 suggested by the literature