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Hi everyone,

I have a question about the "bayesian irf" command (after MCMC) and "stoch_simul" command after MCMC. I compare the impulse responses produced by both command (the mean of the bayesian irf v.s. stoch_simul irf) but they are not same. Could someone please tell me what is the source of this difference?

Thank you very much in advance.

The mean of the the Bayesian IRFs is the mean of the distribution of the IRFs generated when parameters are drawn from the posterior distribution.

When you run stoch_simul after MCMC, the parameters of the model are set to their mean value in the posterior distribution.

But an IRF is a nonlinear function of the parameters, therefore the mean of the IRF is not identical to the IRF for the mean value of the parameters

Best

Michel

Thank you very much for the quick reply. It is clear to me now.

Best...