Convergence Diagnostics for MCMC

Dynare help (legacy posts)
1

Hi all,

I am new to estimating models in Dynare. I see that Dynare provides the Gelman diagnostic for convergence: comparing within and between chains variance.

I was wondering if there are ways to do other convergence tests in Dynare, such as

a) Looking at the trace plots of the simulation and eyeballing mixing and convergence.
b) The Gewekee test.

Thanks for you help.

2

Hi, The test by Geweke is not (yet) implemented. It is possible to obtain trace plots for the parameters. You should read this page on the DynareWiki.

Best, Stéphane.

3

Thanks, Stéphane. I appreciate it.