I am trying to assess the robustness of my results following the advice in section 9.6 of Fabio Canova’s book,

namely to reweight original posterior draws by the ratio of a newly chosen prior to the original prior and to

then recalculate the valuation statistics.

In a related thread, Mr. Pfeifer says that:

“After discarding the burn-in, theoretical moments are computed from the state-space representation for

options_.PosteriorSampleSize random draws from the posterior. By default, this are 1000 draws.”

So if I want to apply the procedure above it is not sufficient to simply reweight the posterior draws, then to

modify that column in metropolis/GM_Baysian_posterior_draws1.mat and finally to execute again the

command “posterior_analysis”, right? This is because Dynare also calls the (original) second column of pdraws

when calculating the theoretical moments from the state-space representation via the function

dsge_simulated_theoretical_’…, correct?!

The state space representation cannot be affected by the reweighting however!?! How is it then possible to

reweight the posterior draws and obtain the new statistics? This question was already raised years ago but

was left unanswered: Joint prior density.

Many many thanks in advance,

Francis