mode_compute = 6 automatically sets mh_jscale too small
Posted: Sun Apr 17, 2011 2:08 pmDear all,
When I use Dynare to apply Bayesian Estimation, mode_compute = 6 is chosen to avoid non-positive definite matrix problem. However, this routine seems to automatically fixes the mh_jscale = 0.00015 to obtain a target acceptance rate around 1/3. The small jscale makes the posterior very narrow around the mode, compared to the priors. It is however desirable to make the MC travel a vaster region. Anyone could help me with this headache?
It is really appreciated. Thanks.
Joe
When I use Dynare to apply Bayesian Estimation, mode_compute = 6 is chosen to avoid non-positive definite matrix problem. However, this routine seems to automatically fixes the mh_jscale = 0.00015 to obtain a target acceptance rate around 1/3. The small jscale makes the posterior very narrow around the mode, compared to the priors. It is however desirable to make the MC travel a vaster region. Anyone could help me with this headache?
It is really appreciated. Thanks.
Joe