From 64b9e4c4aff42bde5356e3e91a5dce9c258de0ed Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sat, 14 Aug 2021 22:21:34 +0200
Subject: [PATCH] Manual: document that typically Bayesian names are used even
if ML is done
(@stepan removed trailing whitepaces)
---
doc/manual/source/the-model-file.rst | 32 +++++++++++++++++-----------
1 file changed, 19 insertions(+), 13 deletions(-)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 03819f8f67..0ba1cdc33b 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -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 stand-in 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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