# Bayesian estimation \_ mode\_computation **URL:** \ **Category:** Dynare help (legacy posts)\ **Created:** [2 November 2016 15:14 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857 "2016-11-02T15:14:39Z")\ **Posts on this page:** 7\ **Page:** 2
**Author:** ![KKLS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/ecd19e/32.png) [@KKLS](https://forum.dynare.org/u/KKLS)\ **Post date:** [30 November 2016 10:16 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/21 "2016-11-30T10:16:29Z")
> [@](#): > > by jpfeifer » Tue Nov 29, 2016 8:53 pm > > Not exactly. What you see in those two graphs is an example of bimodality, where the MCMC correctly explores both regions. You still might want to use a longer chain to properly sample from both modes. But there is nothing here to suggest that the chain has not yet converged to its ergodic distribution. > Have you looked at a trace\_plot of the posterior density? Yes I have. and I have included them in the zip folder that i attached. There is small drift in the middle of the replications horizon for few of the parameters. I will keep raising it though. Thanks. One final question, : in the estimation command can i put all the options that go with stoch\_simul (i.e order=1, hpfilter=1600, irf=40 ) ??? Many many thanks gain for your time Prof. Pfeifer. ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [30 November 2016 10:36 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/22 "2016-11-30T10:36:31Z")
No, you included the trace\_plot for the parameters, but not the one for the posterior density itself, i.e. the result from ```auto ``` No, you cannot put all the same options there. The manual tells you what is allowed. For example, the `hp_filter` does not work with estimation ---
**Author:** ![KKLS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/ecd19e/32.png) [@KKLS](https://forum.dynare.org/u/KKLS)\ **Post date:** [3 December 2016 18:08 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/23 "2016-12-03T18:08:01Z")
Hi Prof. Pfeifer and all , I tried several times to follow up on Prof. Pfeifer advise (see quote below) regarding the trace plot : > [@](#): > > by jpfeifer » Wed Nov 30, 2016 10:36 am > No, you included the trace\_plot for the parameters, but not the one for the posterior density itself, i.e. the result from > Code: Select all > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,1) so after the \*\*estimation \*\* command i set these commands : > [@](#): > > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,1); > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,2); … but I was not able to get the trace plot . I am getting an error as below. > [@](#): > > Estimation::mcmc: Posterior (dsge) IRFs… > Estimation::mcmc: Posterior IRFs, done! > Not enough input arguments. > > Error in trace\_plot (line 39) > column = name2index(options\_, M\_, estim\_params\_, type, name1); > > Error in BggGKlinear (line 1250) > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,1); > > Error in dynare (line 180) > evalin(‘base’,fname) ; Ps. I tried only for block one,i.e: > [@](#): > > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,1); … and I tried writing the command above after I had asked for trace plot of individual estimated parameters (and shocks) > [@](#): > > trace\_plot(options\_,M\_,estim\_params\_,‘StructuralShock’,2,‘epsA’); > … > all shocks and parameters > … > > trace\_plot(options\_,M\_,estim\_params\_,‘PosteriorDensity’,1); I get the same error ( Dynare produces the trace plot for individual parameters but not the one for the posterior density) . Did I miss something pls ? ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [4 December 2016 08:55 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/24 "2016-12-04T08:55:48Z")
That command only works in the unstable version of Dynare, to be released as Dynare 4.5. ---
**Author:** ![KKLS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/ecd19e/32.png) [@KKLS](https://forum.dynare.org/u/KKLS)\ **Post date:** [15 December 2016 18:25 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/25 "2016-12-15T18:25:36Z")
Hi to Prof. Pfeifer and all, I have read the previous posts regarding the model comparisons via likelihoods ratio (and odds ratio) . From one post of Prof. Pfeifer it seems that to compare to models estimated on different data sets , the odds ratio comparisons are not vaild (see the quote below) . My question that follows is: if I got two models A and B where one is a nested version of the other, and where - for the smaller model I use a data series X and Y (plus some other data which are the same in the two models) - for the bigger model I use a data series Z = X+Y (that is Z is the sum of X and Y). The reason I do not use the extra data series on the smaller model is that the smaller model provides a variable which is counterpart to Z only (but no info on its components X or Y). 1. Can I still use the odds ratio comparison based on marginal densities (Laplace and ModifiedHarmonicMean) ? 2. Is there an alternative way of comparing these models ? Many thanks again Profesor Ps. [quote] Re: Model Comparison Bayesian Estimation (again) Postby jpfeifer » Fri Apr 04, 2014 9:04 am Basically all your answers are in Koop’s 2003 textbook “Bayesian Econometrics” on pages 4-5. 1. For Bayesian model comparison models do not need to be nested and there is a natural degrees of freedom correction. \*\*Hence, as long as you use the same data having different parameters does not matter at all. \*\*[/quote] ---
**Author:** ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Post date:** [16 December 2016 07:54 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/26 "2016-12-16T07:54:28Z")
The odds ratio is based on the marginal data density. That is the “likelihood” of observing the data given the model. A meaningful comparison involves keeping the data fixed and varying the model. Simultaneously changing the model and the data does not allow for a sensible comparison. Thus, the answer is no. Having Z being the sum of X and Y does not help, because the model only needs to account for this sum, not for the series individually. To get some intuition, think about the models having k parameters and there being T observations. Then the bigger model with X and Y observed will have 2\*T-k degrees of freedom while the smaller on with Z will only have T-k. ---
**Author:** ![KKLS](https://forum.dynare.org/letter_avatar_proxy/v4/letter/k/ecd19e/32.png) [@KKLS](https://forum.dynare.org/u/KKLS)\ **Post date:** [16 December 2016 16:28 UTC](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857/27 "2016-12-16T16:28:10Z")
Many thanks for confirming it Prof. Pfeifer, A technical question: When I try to find the mode (given that I already have a ‘‘FILENAME\_mode.mat’’) I get a warning like this: > [@](#): > > The steady state file internally changed the values of the following estimated parameters: Is there a warning I should care about (indeed when I get this warning, I get a \*\*‘‘non-positive definite Hessian matrix’’ \*\* problem . Where would I look to fix that problem please ? Ps. I googled a bit and I found a script on your github (initial\_estimation\_checks.m ) but it is not clear to me what the problem is in this case. [Previous page](https://forum.dynare.org/t/bayesian-estimation---mode-computation/5857.md?page=1)