Posterior Predictive Checks

Hi everybody,

I’ve done the Bayesian estimation in dynare using the estimation-command. Everything is running and looks good. Now I want to do some model evaluation using posterior predicitve checks. I know the mathematical background and I already read the post on Bayesian model evaluation in the forum, and I know this is exactly what I need to do. But I don’t know how to do it. How can I compute them? Once I have done the estimation in dynare, what are the next steps? I know I need the posterior predictive distribution. How can I get it?
I really would appreciate any help in form of examples and comments.
Thank you very much!

What do you want to predict?

I’m interested in checking the absolute fit of the model to the data.
This link describes very clearly what I’m searching for: In the end I would like to show scatter plots like in the attached pdf, figure 7 or 9.
Computation is described in the following way:

  1. Simulate theta from the posterior distribution, p(theta|y)
  2. Simulate y_rep from the predictive distribution, p(y_rep|theta,y)
  3. Compare y to the replicated datasets y_rep.
    (y is the observed data, theta the vector of parameters)
    The first point of computation is clear. It’s what I have done by using the estimation command in Dynare. But I don’t know what to do at point two in Dynare.
    Thank you very much!
    A6n41.pdf (1010 KB)

I am working on it, but it will take some time as it requires new functionality in Dynare.

Thanks a lot! I’m also working on it. So far, I guess I need to set up a external program written in Matlab.

It will still take some time until the functionality is in Dynare. A first draft is at