Deriving the credible set of a variable

Estimation ML/Bayesian estimation
1

Hi,
It would be much appreciated if someone could explain how to draw/derive the credible set of a variable given that the model is estimated. Thank you.

2

What do you mean? Dynare allows you to estimate HPDIs.

3

Thanks, Professor.
My problem might not be clear. I wanted to draw credible bands of a variable (time series) derived from my model. But I could not locate the code to do it with reference to the manual.

4

Please define the concept

Do you the output from the smoother-option of estimation?

5

Yes,
I have estimated the parameters (Bayesian) and the model.

estimated_params;
ALPH, beta_pdf,0.35,0.01; so on

estimation(datafile=data_model1_bayesian_estimation, graph_format=pdf, mh_jscale=0.6, mode_compute=6, mode_check, prior_trunc=0, mh_replic=100000,
mh_nblocks=4, raftery_lewis_diagnostics, consider_all_endogenous, conf_sig=0.95);

I obtained the results from the oo_.SmoothedVariables.
Result looks like below,
Year Result
1971 0.335605029511308
1972 0.284030009014477
1973 0.356588867355969
1974 0.345517915172426
1975 0.428387096972830
Now, I want to know how to get the credible bands of this variable.

Thank you.

6

You did not specify the smoother-option, which should give you oo_.SmoothedVariables.HPDinf and oo_.SmoothedVariables.HPDsup.

7

Dear Professor, Thanks a lot. I got it done!