Unbounded density

[jpfeifer]

See

Brooks-Gelman(1998) statistics in Dynare

From Pfeifer (2014): An Introduction to Graphs in Dynare at sites.google.com/site/pfeiferecon/dynare: “The blue line shows the 80% interval/quantile range based on the pooled draws from all sequences, while the red line shows the mean interval range based on the draws of the individual sequences.” Interval here is not a confidence interval.

We mostly care about the first one.