Dynare forums

Dear all,
I am estimating a model. I am wondering which method Dynare uses to calculate standard errors (analytic, Monte Carlo, ... ).

Thanks in advance,

Lara

Dear Lara,

Standard deviations reported after the estimation are computed using the inverse of (minus) the hessian matrix of the likelihood at the estimated mode. This is a crude estimator because we rely here on a gaussian approximation. After the MCMC the posterior variances can be computed from the monte-carlo draws. These estimates are not printed on screen but are saved in oo_.posterior_variance.

Best, Stéphane.

Dear Stephane,
many thanks.

Lara