Bayesian estimation: tolerance

Deal all

How can I change the default tolerance in the main algorithm of Bayesian estimation?

I have an iterative block INSIDE the mod-file with extremely slow convergence to, say, E^-10. I cannot optimise it further than it is currently done. As a result, computing posterior distributions takes ages. I need to decrease the default tolerance to, say E^-6, or something less that internal convergence tolerance. I use MATLAB. I undertsand Dynare uses some standard MATLAB minsearch or something like this, how can I change the default parameters in the correct place?

Many thanks

Hi, Tanya:
If you use Dynare, the default optimizer is csminwel, not any built-in function in Matlab. Try add the following lines in your mod file before the estimation line


If you use fminunc or something else in Matlab, add the line before using the minimizing algorithm

options = optimset(‘TolFun’,1e-5,‘TolX’,1e-3);