Dear all,
I have a question regarding the content of modfilename_mh_mode.ma and modfilename_mean.mat, which after an estimation with MCMC are stored in the file modfilename/Output. What is stored in hh? Is this the covariance matrix of estimated parameters calculated using the draws of the MCMC? It seems that hh is the some in both .mat files. Furthermore, I can see that modefilename_mean.mat, xparam1 contains the posterior mean computed from the MCMC draws, so I suspect in the modefilename_mh_mode file it contains the posterior mode calculated from those same draws? Is that correct?
Many thanks,
Ansgar
Ah it seems that the answer to my question is here: _mh_mode after estimation - Estimation / ML/Bayesian estimation - Dynare Forum ? So the answers to my questions would be yes?
I have a follow up question then: If I wanted to start a new MCMC run using the covariance matrix computed based on an earlier run of the MCMC as the proposal distribution, and using the posterior mean or posterior mode calculated from that mcmc as a starting point, in the estimation command I could simply set mode_file=modfilename_mh_mode or mode_file= modfilename_mean, is that correct? If yes, what is the use of the use_mh_covariance_matrix option?
Many thanks in advance for your help,
Ansgar
Yes, hh is the covariance matrix as you mentioned in your first post. And you are also correct in how you start a new estimation (including mode finding, if wanted) run with eh mode_file option in the estimation command. If you do not want another mode optimization set mode_compute=0, this of course only works while you provide a mode file.
Remember also to rename the previous mode files, in case you want to keep track, because otherwise Dynare overwrites them.
Many thanks! What is the purpose of the use_mh_covariance_matrix option then? If hh in modfilename_mean is the covariance matrix computed from the draws of the associated mcmc run, isn’t that option redundant?
I have never used that option, but judging from the manual, use_mh_covariance_matrix is part of the posterior_sampler_options command within estimation, where you can choose a different sampler and have to decide which covariance matrix to be used for that specific sampler.
As the manual mentions, use_mh_covariance_matrix is only useful if you are loading a previous MCMC run using the load_mh_file-option. In this case, Dynare will load all the MCMC draws present on the disk and recompute the covariance of the draws.
Hi Johannes,
thank you for the clarification. So I use that option only when I want to continue a previous MCMC but with a covariance matrix compuated from that previous MCMC. Whereas if I start a completely new MCMC with a covariance matrix from a previous MCMC, I can use mode_file=modfilename_mh_modeormode_file= modfilename_mean to get the hh matrix from there.
Many thanks!
Best,
Ansgar
Yes, exactly.