Number of MH iterations and number of burning periods

Dear Johannes,

Thank you very much for your helpful guidance last time, I am grateful.

I have around 30 parameters to be estimated in my DSGE model using Bayesian estimation and the remaining 5 parameters are calirated, and I ran 1000000 iterations using Metropolis Hastings sampler, is 1000000 iterations too much for only 30 parameters?

And how many burning periods are suitable?

Thank you very much.
PhD Candidate

There is no general rule on the number of iterations. It very much depends on the autocorrelation in the draws/inefficiency factors. You should always check convergence via convergence diagnostics and trace plots. Usually a burnin of 100,000 draws is sufficient if you start at the true mode.

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