Save log_density at the mode and document oo_.posterior-fields
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@ -5240,6 +5240,7 @@ Instructs Dynare to run mode computing/optimization silently without displaying
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saving files in between. Useful when running loops.
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@item mcmc_jumping_covariance = hessian|prior_variance|identity_matrix|@var{FILENAME}
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@anchor{MCMC_jumping_covariance}
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Tells Dynare which covariance to use for the proposal density of the MCMC sampler. @code{mcmc_jumping_covariance} can be one of the following:
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@table @code
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@ -6160,6 +6161,52 @@ Variable set by the @code{estimation} command, if it is used with
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based on @cite{Geweke (1999)} Modified Harmonic Mean estimator.
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@end defvr
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@defvr {MATLAB/Octave variable} oo_.posterior.optimization
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Variable set by the @code{estimation} command if mode-finding is used. Stores the results at the mode.
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Fields are of the form
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@example
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@code{oo_.posterior.optimization.@var{OBJECT}}
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@end example
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where @var{OBJECT} is one of the following:
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@table @code
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@item mode
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Parameter vector at the mode
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@item Variance
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Inverse Hessian matrix at the mode or MCMC jumping covariance matrix when used with the
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@ref{MCMC_jumping_covariance} option
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@item log_density
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Log likelihood (ML)/log posterior density (Bayesian) at the mode when used with @code{mode_compute>0}
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@end table
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@end defvr
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@defvr {MATLAB/Octave variable} oo_.posterior.metropolis
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Variable set by the @code{estimation} command if @code{mh_replic>0} is used.
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Fields are of the form
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@example
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@code{oo_.posterior.metropolis.@var{OBJECT}}
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@end example
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where @var{OBJECT} is one of the following:
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@table @code
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@item mean
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Mean parameter vector from the MCMC
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@item Variance
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Covariance matrix of the parameter draws in the MCMC
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@end table
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@end defvr
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@defvr {MATLAB/Octave variable} oo_.FilteredVariables
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Variable set by the @code{estimation} command, if it is used with the
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@code{filtered_vars} option.
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@ -355,9 +355,14 @@ end
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oo_.posterior.optimization.mode = [];
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oo_.posterior.optimization.Variance = [];
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oo_.posterior.optimization.log_density=[];
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invhess=[];
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if ~options_.mh_posterior_mode_estimation
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oo_.posterior.optimization.mode = xparam1;
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if exist('fval','var')
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oo_.posterior.optimization.log_density=-fval;
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end
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if options_.cova_compute
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invhess = inv(hh);
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stdh = sqrt(diag(invhess));
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