Before the Estimation of Impulse Response and Variance Decomposition , the number of times that drawn from the approximated joint distribution of parameters are initialized. I used Dynare 3 for Bayesian Estimation of Impulse Response and Variance Decomposition. I’ve tried to debug the code to find out how many times is assigned for drawing from the joint distribution to get the estimation result. I discover the number of times is of maximum 500 times, as shown in line 1444 in metropolis.m.
I have a question why maximum of 500 times is assigned to the number of draws from the approximated joint distribution? My concern is that if the approximated distribution is obtained by MH algorithm for many times, say 1000000 times, the chance of all draws are in the tail of distribution is high. If all the draws from approximated distribution are from the tail, the estimation result is no longer accurate.