Hi,
Does Dynare use posterior mode or posterior mean of parameters in command stoch_simul after estimation?
Thanks for answer.
Jan
Hi,
Does Dynare use posterior mode or posterior mean of parameters in command stoch_simul after estimation?
Thanks for answer.
Jan
From the manual:
[quote]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.
After estimation with Metropolis iterations (option mh_replic > 0 or option load_mh_file
set) the parameters M_.params and the variance matrix M_.Sigma_e of the shocks are set to the
posterior mean.
[/quote]
It’s the mode for ML and the mean for Bayesian estimation.