Reporting results

Hello

Could you please advise on reporting the results. After the bayesian estimation is complete:

  1. Report mean or mode of parameter estimates?
  2. For calibration using parameter estimates, better to use mean or mode?
  3. Similarly, for reporting filtered variables, which statistic to use?

Thanks!

Have a look at

and

Thanks Johannes

Could I ask another question related to mode finding using optimisers?

In certain instances, when I try to find a mode using optimiser (say mode_compute=1), the resulting matrix is negative definite, but the plots generated by mode_check look fine. Now, when I use the parameters found by mode_compute=1 as starting values and restart mode search with mode_compute=6, I get a positive definite matrix, with some minor decimal changes to the initial parameters. Would you happen to have a guess as to why this is?

Without seeing the specific case it’s impossible to tell. But the way mode_compute=6 computes the covariance matrix is very different from other optimizers. The latter try to compute the inverse Hessian, the former directly uses the covariance of draws from an MCMC.

Thanks Johannes

Could I ask another question. I just finished running Bayesian estimation: 1 chain with 50mln draws, acceptance rate around 26% and stable midway through. Geweke test cannot reject the null of mean equality for any parameter.

Is it correct to claim in this case that the mode has been successfully estimated (regardless of initial conditions)?

Where are the results for the estimated mode stored (is it filename_mh_mode or somewhere else)? Is there an equivalent of 90% confidence band for the estimated mode in a similar way that is reported for the mean (and if yes where is it stored)?

Thank you and apologies if these type of questions have already been answered.

  1. You cannot make claims regarding the mode, only about the convergence of the chain to its ergodic distribution. This seems to be satisfied.
  2. You are doing Bayesian estimation, while confidence bands are a frequentist concept. Typically, people (and Dynare) report the HPDIs.

Thank you.