posterior standard deviation

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posterior standard deviation

Postby earsmall » Tue Aug 04, 2015 2:37 pm

One of output resulting from DSGE-estimation is 'oo_' and as far as I know, this variable contains various estimated results.
My question is that whether 'oo_.posterior_std' includes standard deviations of MCMC-simulated draws.
One thing strange is that there is also 'oo_posterior_variance' and I was sure that I could get values in 'oo_.posterior_std'
after imposing square root on them. However, resulting values are little bit different.
Is there any one could explain these outputs?

Thanks.
earsmall
 
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Re: posterior standard deviation

Postby jpfeifer » Wed Aug 05, 2015 6:24 am

This is an unfortunate inconsistency. The
oo_.posterior_std

field is set after mode-finding, i.e. it is the parameter standard deviation at the posterior mode.
The
oo_.posterior_variance

field is set after the MCMC algorithm. That explains why they are not the same. We will fix this in future versions.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
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