Dear Professor Pfeifer,
I set a DSGE model and run the Bayesian Estimation. The mode plots and the convergence of the two chains all looks OK. I thought the estimation results are good until I compare the distance between the model-implied moments and their empirical counterparts. The empirical moment are not in the 95% probability interval of model-implied moment as I wish.
(1) Does this mean that there is some problem with my model setting ?
(2) How should I improve this ? Is there any method to adjust the model-implied moment and make it close to the empirical ones ?
(3) Could I get better results if I try simulated method of moments estimation ?
Thank you for your precious time !