Dynare forums

Posted: **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?

Posted: **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.

Covariance matrix of estimated parameters