Proposal Density for the Independent Metropolis Hastings

Estimation
21

Dear Prof. Pfeifer,

maybe as a follow up question. If I put a stoch_simul after the estimation comand to compute IRFs, are those IRF computed at the posterior mode or mean?

Ben

22

That depends. From 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. 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

23

I see thanks a lot! I would like to use the posterior mode instead. I can simply load the parameters from the _mh_mode file and pass them to stoch_simul I guess?

24

Use

xparam1 = get_posterior_parameters('mode',M_,estim_params_,oo_,options_);
M_ = set_all_parameters(xparam1,estim_params_,M_);
1 Like
25

This is great! thanks a lot!