I was wondering whether after doing the MCMC, there is an option in Dynare to keep say only every 50th draw? If I understand correctly, this can be a way to reduce the autocorrelation in the draws, see for instance the attached Leeper et al. (2017) paper, p.2427. I think this approach is also referred to as thinning? I saw that there is a thinning_factor option in the “Markov-switching
SBVAR” estimation, but I couldn’t find it among the options of the standard Estimation command.
Best,Leeperetal2017.pdf (1.1 MB)
No, there is not. But Dynare in any case only draws a random subsample of parameters from the posterior, so on average, no neighbouring draws are taken.