Hi all,
I am new to estimating models in Dynare. I see that Dynare provides the Gelman diagnostic for convergence: comparing within and between chains variance.
I was wondering if there are ways to do other convergence tests in Dynare, such as
a) Looking at the trace plots of the simulation and eyeballing mixing and convergence.
b) The Gewekee test.
Thanks for you help.
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Convergence Diagnostics for MCMC
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Convergence Diagnostics for MCMC
by openmacro » Sun Jun 21, 2009 5:17 am
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Re: Convergence Diagnostics for MCMC
by StephaneAdjemian » Thu Jun 25, 2009 12:38 pm
Hi, The test by Geweke is not (yet) implemented. It is possible to obtain trace plots for the parameters. You should read this page on the DynareWiki.
Best, Stéphane.
Best, Stéphane.
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Re: Convergence Diagnostics for MCMC
by openmacro » Fri Jun 26, 2009 9:40 pm
Thanks, Stéphane. I appreciate it.
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