I am wondering if there is a range for the mh_jscale parameter. Normally, I have to use small values in order to get an acceptance ratio of around 30%. Nevertheless, I am estimating a model in which I have to fix a mh_jscale of 10.
I know that the efficient variance of the MH random walk depends on the model I am estimating but is it not too high? is the MH going to reach the tails of the distribution?
Have I misunderstood some technical concepts or should I worry about some mistake in my model?
(I am considering two blocks and the ratios are close to each other)
Thank you in advance for any comment.
That depends on the curvature of the proposal density matrix. As long as you get a decent acceptance rate, you should be fine. That being said, I would always check the mixing via trace_plots later on.
Dear Professor jpfeifer,thanks for your reply!
I have checked the trace_plots and the model do not converge at all. I guess this is due to the finded mode. I am using mode_compute = 6 and even with this option I cannot get a good estimation of the modes.
I know that theoretically does not matter from which mode I start the MCMC that it will converge to the actual value. Nevertheless, I have run 2 000 000 replication and it is not even close.
What could be the problem or how could I get better estimation of the mode? (My data is stationary and zero mean)
I would really appreciate your help since I am stuck with this problem.
Thank you in advance.
You are not handling parameter dependence correctly. You need to fix this and then check identification.
Thank you very much for the correction.
I have modified the mod file and now the mode_check plots are much better. Nevertheless, when I run the metropolis hasting the parameter r_pinf (response to inflation) goes to its lower bound and I do not understand why. Could you please help me?
Thank you very much in advance for any helpful comment
What do you mean with
You uploaded a trace plot, is that for this parameter? Looking at that plot, there is a second mode. Have you checked whether that one has a higher posterior density? You can do that by looking at the trace plot of the posterior.