Question about estimated structural shock

Dear All,

I am so sorry to ask you this simple question. I am a new guy to use DYNARE. Would it be possible to save the simulated error series from the given model for each metropolis run? For example, if we have 80 time series observation, after one run of bayesian estimation, we should get implied 80 residuals(structural shocks) from the model. Likewise, in every run, we can get 80 residuals (let’s say 10000 times) . It would be huge matrix, but I really want to save those… I have one inefficient idea to try but I would like to ask your valuable opinion on that.

Could you please let me know what m file I have to check? Related to that, I guess that smoothed shocks output gives us just residuals from final Metropolis run.

Thank you so much in advance.


Hi Cho,

With dynare mark 3, the option smoother in the command estimation triggers the computation of the posterior distribution of the smoothed variables and shocks. You will find posterior moments and densities in oo_. Some mat files are saved somewhere where you can find the “residuals” for different values of the deep parameters. You should open metropolis.m to see how to retrieve and read these files.

Best, Stéphane.

Dear Stéphane,

Thank you so much for your kindness. :smiley: Now I know how to retrive the estimated structural shocks thanks to your advice.