MCMC Convergence
Posted: Mon Feb 11, 2008 12:44 pmhi all
i use dynare version 3. 065
could someone explain what the univariate and multivariate diagnostic graphs mean and should be interpreted ? the user guide (based on version 4) is a little vague about it .
for example, on the subpanel labelled 'interval', there is a red line and a blue line. are these within chain or between chain diagnostics? is each chain in the mh_nblocks option represented by a separate color? or am i missing the plot?
if the structural parameter has converged, should these two lines meet and then move together, parallelly to the axis indicating the number of mcmc draws?
any help would be well appreciated.
cheers
reuben
i use dynare version 3. 065
could someone explain what the univariate and multivariate diagnostic graphs mean and should be interpreted ? the user guide (based on version 4) is a little vague about it .
for example, on the subpanel labelled 'interval', there is a red line and a blue line. are these within chain or between chain diagnostics? is each chain in the mh_nblocks option represented by a separate color? or am i missing the plot?
if the structural parameter has converged, should these two lines meet and then move together, parallelly to the axis indicating the number of mcmc draws?
any help would be well appreciated.
cheers
reuben