After estimate the model using bayesian method, how should I judge whether the estimation result fit the real data well?
I know in the estimation command, we can calculate the 1-step ahead forecast filtered variable, so is it ok to compare the forecast filtered variable with the real data and see whether the real data locate in the confidence intervals?
Besides, is there any method to compare the standard deviation between the model simulation data and the real data? Can we calculate the hpd intervals for the standard deviation of simulation data and see whether the standard deviation of real data locate in the hpd intervals?
Really looking for your kind help! Thank you so much.