Bayesian IRF and intervals

Dear Professor,
I have some difficulty in understanding the Bayesian IRFs and intervals, see Figure 10 in the following page.

Can you please confirm if I understand it correctly?
For the Bayesian IRF, it should be obtained by randomly drawing posterior. Each draw corresponds to one set of IRFs. Suppose if you have 1000 draws, I can work out the mean of the IRF. If I sort the IRFs, I should be able to get 5% and 95% intervals.
I also read Leeper, et. al. (2010). It seems they plot IRFs at the mean estimates of the posterior, which is different from my previous understanding. So I am bit confused. Can you please clarify which case is Dynare doing?


You can do both in Dynare.

  1. Bayesian IRFs triggered by bayesian_irf option of estimation are the respective quantiles over the IRFs using parameter draws from the posterior distribution.
  2. The IRFs at the posterior mean would be generated when you run stoch_simul after estimation.