First thank you very much for your help and guidance last time, I am grateful.
I have a question about Bayesian estimation algorithm in Dynare.
Does Dynare only use single block metropolis hastings algorithm but not Gibbs sampling algorithm in Dynare?
Does Dynare sample estimate state space parameters first and then samples structural parameters?
Thank you very much and look forward to hearing from you.
Dynare (in version 4.5, i.e. the current unstable version) has 3 posterior sampling algorithms:
- The standard single block Random Walk Metropolis-Hastings algorithm
- The Tailored Random Block Metropolis-Hastings algorithm of Chib/Ramamurthy
- The Slice sampler.
The manual provides details under
I don’t understand the part regarding
There is no reason to sample state space parameters. You sample the structural parameters, solve the model given these parameters and get the model solution in state-space form. Essentially, the structural parameters provide cross-equation restrictions for the state space parameters.