I have estimated two different RBC models using the SMM approach, but I god confused when going through the estimated results.
Could I get some help understanding and interpreting the results called: “Log Density Data” and the "Highest Posterior Density (HPD) interval?
My problem might be, that I don’t understand how the results should be interpreted and what the “value” means to my model.
I hope you can help med. Thank you in advance.
How did you get the log data density for SMM? And which SMM routines did you use?
Through this approach in Dynare:
“estimation(datafile=estim_new,order=1, mode_check,mode_compute=4,mh_replic=5000,mh_nblocks=2, mh_jscale=0.20, mh_drop=0.2)”
estimation-command does not support SMM. So I cannot answer your question. Regarding HPDIs in general, see Koop’s (2003): “Bayesian Econometrics” and https://drive.google.com/file/d/1iLQ7QjI-HRGgN1NMrRjWQbQOtzxQ-vWP/view