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Different mode computation with different result
Posted:
Thu Oct 30, 2014 2:24 pmby Grant
Dear Jpfeifer,
I use Bayesian to estimate some parameters of my model. However, when I use "mode_compute=4" and "mode_compute=5", I get different results through variance decomposition, although the both mode computation command can get good convergence result and identification analysis. Which result should I trust? Does it mean that my model is not robust and may have some fundamental problems?
Regards,
Re: Different mode computation with different result
Posted:
Thu Oct 30, 2014 4:49 pmby jpfeifer
It most probably means you did not get convergence to the same maximum/mode. Use the value of the posterior to see which mode was better.
Re: Different mode computation with different result
Posted:
Fri Oct 31, 2014 5:36 amby Grant
Dear Jpfeifer,
Thanks for your answer. Could you explain a bit more in detail about how I can use the value of the posterior to check which mode was better? What is the criterion that mode is better?
Regards,
Re: Different mode computation with different result
Posted:
Fri Oct 31, 2014 10:56 amby jpfeifer
The posterior is like the likelihood. The higher the better. After some mode-finders, Dynare is going to display the objective function at the mode. As the objective is minus the posterior, the lower the better.
Re: Different mode computation with different result
Posted:
Fri Oct 31, 2014 2:12 pmby Grant
Dear Jpfeifer,
Thanks for your explaination. I know that dynare can simulate the posterior distribution at the mode after some mode-finders. But I am still confused. Do you mean that I can compare the log data density? If not, how can I check which mode was better? I mean is there an explicit way to check?
Re: Different mode computation with different result
Posted:
Fri Oct 31, 2014 7:20 pmby jpfeifer
I am not talking about the log data density, but the posterior. If you are working with the unstable version, try using the file at
https://github.com/JohannesPfeifer/dynare/commit/edca875d2a815ba7f98d68c64adc7ef18b69aaaf
Re: Different mode computation with different result
Posted:
Sat Nov 01, 2014 4:04 amby Grant
Dear Jpfeifer,
I am not using the unstable version but the stable version 4.4.3. Do you mean than I can compare the value of "Objective function at mode" shown in the log file? However, I cannot find the corresponding value when I use "mode_compute=6". When I use "mode_compute=6", I can only find "Final value of the log posterior (or the likelihood)". Hope to receive your help. Thanks!
Regards,
Re: Different mode computation with different result
Posted:
Sat Nov 01, 2014 11:24 amby jpfeifer
Those two things are the same. The objective function is minus the log-posterior. Note that mode_compute=6 also displays MINUS the log posterior.