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Minje Jeon
dynare
Commits
64b9e4c4
Verified
Commit
64b9e4c4
authored
Aug 14, 2021
by
Johannes Pfeifer
Committed by
Stéphane Adjemian
Aug 16, 2021
Browse files
Manual: document that typically Bayesian names are used even if ML is done
(@stepan removed trailing whitepaces)
parent
89b6ecf9
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doc/manual/source/themodelfile.rst
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64b9e4c4
...
...
@@ 5401,6 +5401,16 @@ block decomposition of the model (see :opt:`block`).
so that the sequence of proposals will be different across different runs.
Finally, Dynare does not always properly distinguish between maximum
likelihood and Bayesian estimation in its field names. While there is
an important conceptual distinction between frequentist confidence intervals
and Bayesian highest posterior density intervals (HPDI) as well as between
posterior density and likelilhood, Dynare sometimes uses the Bayesian
terms as a standin in its display of maximum likelihood results. An
example is the storage of the output of the ``forecast``option of
``estimation`` with ML, which will use ``HPDinf/HPDsup`` to denote
the confidence interval.
*Algorithms*
The Monte Carlo Markov Chain (MCMC) diagnostics are generated by
...
...
@@ 9617,7 +9627,7 @@ the :comm:`bvar_forecast` command.
Variable
set
by
the
``
forecast
``
command
,
or
by
the
``
estimation
``
command
if
used
with
the
``
forecast
``
option
and
if
no
Metropolis

Hastings
has
been
computed
(
in
that
case
,
and
ML
or
if
no
Metropolis

Hastings
has
been
computed
(
in
that
case
,
the
forecast
is
computed
for
the
posterior
mode
).
Fields
are
of
the
form
::
...
...
@@ 9629,38 +9639,34 @@ the :comm:`bvar_forecast` command.
Lower
bound
of
a
90
%
HPD
interval
[#
f8
]
_
of
forecast
due
to
parameter
uncertainty
,
but
ignoring
the
effect
of
measurement
error
on
observed
variables
.
of
measurement
error
on
observed
variables
.
In
case
of
ML
,
it
stores
the
lower
bound
of
the
confidence
interval
.
``
HPDsup
``
Upper
bound
of
a
90
%
HPD
forecast
interval
due
to
parameter
uncertainty
,
but
ignoring
the
effect
of
measurement
error
on
observed
variables
.
measurement
error
on
observed
variables
.
In
case
of
ML
,
it
stores
the
upper
bound
of
the
confidence
interval
.
``
HPDinf_ME
``
Lower
bound
of
a
90
%
HPD
interval
[#
f9
]
_
of
forecast
for
observed
variables
due
to
parameter
uncertainty
and
measurement
error
.
and
measurement
error
.
In
case
of
ML
,
it
stores
the
lower
bound
of
the
confidence
interval
.
``
HPDsup_ME
``
Upper
bound
of
a
90
%
HPD
interval
of
forecast
for
observed
variables
due
to
parameter
uncertainty
and
measurement
error
.
measurement
error
.
In
case
of
ML
,
it
stores
the
upper
bound
of
the
confidence
interval
.
``
Mean
``
Mean
of
the
posterior
distribution
of
forecasts
.
``
Median
``
Median
of
the
posterior
distribution
of
forecasts
.
``
Std
``
Standard
deviation
of
the
posterior
distribution
of
forecasts
.
..
matvar
::
oo_
.
PointForecast
Set
by
the
``
estimation
``
command
,
if
it
is
used
with
the
...
...
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