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Covariance matrix of estimated parameters
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Covariance matrix of estimated parameters
by JUKI » Wed May 07, 2008 9:27 am
Does anybody know where Dynare saves the variance-covariance matrix of the estimated parameters or how could we compute it after Bayesian estimation?
- JUKI
Re: Covariance matrix of estimated parameters
by StephaneAdjemian » Tue May 13, 2008 9:17 am
Hi,
The posterior covariance matrix of the estimated parameters can be computed from the metropolis-hastings simulations as described on
the DynareWiki:
http://www.cepremap.cnrs.fr/DynareWiki/ ... orVariance
Best,
Stéphane.
The posterior covariance matrix of the estimated parameters can be computed from the metropolis-hastings simulations as described on
the DynareWiki:
http://www.cepremap.cnrs.fr/DynareWiki/ ... orVariance
Best,
Stéphane.
- StephaneAdjemian
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- Joined: Wed Jan 05, 2005 4:24 pm
- Location: Paris, France.
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