Mode vs mean of Bayes. Stderr

Estimation ML/Bayesian estimation
1

Hello,

I have a little confusion following Bayesian estimation:

  1. When I retrieve estimate of the bayesian procedure as follows:
    m = load(‘Credibility_mh_mode.mat’)
    then:
    m.xparam1 Are estimates of posterior mode or posterior mean ?

  2. In the meanwhile I estimated the standard error of a shock say Inflation, then:
    oo_.PosteriorIRF.dsge.Var.Y_Inflation_SHK is the Bayesian IRF in response to the Inflation’s standard deviation. Okay, but this estimated standard deviation of Inflation is set to posterior mode or posterior mean of the inflation’s stderr posterior ?

Thank you.

2
  1. The _mh_mode.mat contains the mode found during the MCMC.
  2. Posterior objects like bayesian_irfs are not computed at a particular value for the parameters. Rather, they are integrals across the posterior distribution (set identification). The .var field stores the variance across the posterior draws.
3

Thank you Prof @jpfeifer