Problem with mode_compute=6

[flumas22]

Dear 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 problem?

Thanks for answers,

Best,

Mark

[jco57]

Hi,

If the mod file containing your model is titled 'model', then you can find the scale parameter which DYNARE computes using mode_compute=6 in the file 'model_optimal_mh_scale_parameter'. Here you can modify the scale parameter (just keep the file name the same) to achieve an average acceptance ratio more to your liking.

[reluginbuhl]

Just to report on my experience with using mode_compute=6: I generally do not get convergence of the MH algorithm using mode=6. Using mode=4 or =7 (when it works) will produce good convergence diagnostics for the same model estimation in which mode=6 did not work. Mode=6 in my experience tends to produce spiky posteriors, and the convergence diagnostics indicate that no convergence has occurred (even after hundreds of thousands of replications in multiple chains.)