Missing Priors, Variance Decomposition, and Syntax Clarifications

[yw3864a]

Hi everyone，

I am encountering multiple issues with my Dynare Bayesian estimation. Here is my estimation code:

estimation(order=1,
datafile=‘data1911_19364.xlsx’,
presample=0,
first_obs=2,
prefilter=0,
plot_priors=1,
lik_init=2,
mh_nblocks=2,
mh_jscale=0.38,
mh_replic=10000,
mode_compute=6,
mh_drop=0.1,
nodiagnostic,
moments_varendo,
bayesian_irf,
irf=20,
mh_conf_sig=0.95,
conf_sig=0.95);

1.Syntax Error with moments_varendo: I keep receiving the following syntax error:

1. ERROR: model_sim_bayesian11_05.mod: line 438, cols 57-71: syntax error, unexpected MOMENTS_VARENDO

I’m not sure where the issue lies, as my syntax seems correct.

For variance decomposition, do I need to write specific code to use the parameters from the Bayesian estimation in the simulation? Any guidance on how to proceed with variance decomposition after Bayesian estimation would be appreciated.

Missing Prior and Posterior Plots: Although I have set plot_priors=1, I do not get the prior and posterior distribution plots. I attempted to create these plots manually, but I realized that oo_ only contains the posterior density without any prior density information.

2. Order of Simulation and Bayesian Estimation: Could you clarify the difference between performing simulation before Bayesian estimation and doing Bayesian estimation first, then simulation? If I perform simulation after Bayesian estimation, are the parameters in the simulation automatically set to the posterior means from the Bayesian estimation, or is there an additional setting required to ensure that the simulation uses the estimated parameters?

3. Setting first_obs Parameter: I have set first_obs=2 in my code. I would like to confirm if this starts reading data from the second row in the Excel file or from the second observation. In my Excel file, the first row contains variable names, and the data starts from the second row. Should I set first_obs=1 or first_obs=2 in this case?

Thank you for your assistance.

Best，
Yamoi

[jpfeifer]

1. Without the full code, it is impossible to tell.
2. The conditional and unconditional variance decomposition can be requested in stoch_simul after estimation.
3. Missing prior: do you have a nograph before estimation?
4. See

Stoch_simul after estimation

That depends on what you want to do. If you want to run stoch_simul in a different mod-file, then you are right. If you want to run it after estimation in the same file, then you can simply put the stoch_simul-command after estimation. As documented in the manual After running estimation, the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the mode for maximum likelihood estimation or posterior mode computation without Metropolis iterations. If you want the p…

5. first_obs is the first observation, not the first row of the Excel file.

[yw3864a]

Thank you very much. The issues have been resolved with your advice.

Best,
Yamoi