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.
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Re: Bayesian IRF
by MichelJuillard » Wed Aug 11, 2010 2:53 pm
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
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
- MichelJuillard
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Re: Bayesian IRF
by rain » Wed Aug 11, 2010 6:48 pm
Thank you very much for the quick reply. It is clear to me now.
Best...
Best...
- rain
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