Thanks for your help and patience!
May I have one additional question:
I am running MCMC using dynare 4.4.3, and set mh_replic = 1000000, mh_nblocks =2. In the ‘metropolis’ subfolder, I do find the raw posterior draws following your suggestion for the two chain block, which are stored from “modname_mh1_blck1.mat” to “modname_mh288_blck1.mat” (overall 288 mat files) for MCMC chain 1 and from “modname_mh1_blck2.mat” to “modname_mh288_blck2.mat”: (overall 288 mat files) for MCMC chain 2. Base on these results, I am able to collect all raw posterior draw, which is a matrix A with size [1000000*34] as 34 parameters are estimated.
If only a single parameter is estimated, the posterior distribution is one dimension, we can simply use the matlab function"hist" to infer the posterior distribution. However, now I have 34 estimated parameters and the joint posterior distribution should be multi-dimensional. My question is how can I back out the joint posterior distribution based on the raw posterior draw with size [1000000*34]. Could you offer further guidance?