Hi.

Brooks and Gelman have three different statistics including \hat R_{interval} and second and third moments for investigation of univariate and multivariate convergence in distribution.

Dynare shows these graphs by red and blue colors for interval and second and third moments.

\hat R_{interval}=\frac{Length \ \ of \ \ total \ \ sequence \ \ intervals}{mean \ \ length \ of \ \ the \ within \ sequence \ intervals }

My question is what is numerator and denominator colors in Dynare ?

The other question is that suppose we have 3 chains and number of iterations is 100000.

Therefore we must have confidence intervals for 100000 in denominator but 300000 in numerator!!! because we calculate intervals in numerator for m \times n sample.

Although we have two other moments including second and third moments graphs.