How to draw samples from posterior predictive distribution

[Haydenknows]

Hi Professor, I am reading the paper "Non-stationary hours in " and confusing about that how to generate the figure like

It seems that samples was drew from posterior predictive distribution. Then how to get the posterior predictive distribution and how draw samples from posterior predictive distribution? Could you please give me some hint? I am uploading the paper for your reference. Thank you so much. Looking forward to your reply.
J of Money Credit Banking - 2007 - CHANG - Non‐stationary Hours in a DSGE Model.pdf (787.2 KB)

[jpfeifer]

Have a look at

Posterior predictive checks

That quote indicates that you have to simulate the model for a given posterior draw and then compute the unconditional second moments. The easiest way to do this is most probably to use the posterior_function command and within the posterior function call stoch_simul with the respective options for simulation. An example can be found at tests/prior_posterior_function · master · Dynare / dynare · GitLab

[Haydenknows]

Thanks so much for your help. But when I run the example mod file, I encountered the following error. Could you please help me to solve it?

Really looking forward to your reply. Thanks again!

[jpfeifer]

Which Dynare version are you using?

[Haydenknows]

Professor, I use Dynare 5.2. Does that work?

Thank you for your help.

[jpfeifer]

In that case, you need tests/prior_posterior_function · 5.x · Dynare / dynare · GitLab