Example question: I've run a model using MCMC, and when I looked at the trajectories for the parameters I realised that I had not set a long enough burn-in period. Can I change this retrospectively, or will I have to run the model again specifying the longer burn-in?
It is possible to get parameter estimates based on a longer burn-in after you have run a model. If you click on the trajectory graph for any parameter and answer Yes to the message Calculate MCMC diagnostics? then the MCMC diagnostics window will appear, and if you select the Diagnostic Settings button at the bottom of this window you will see a box at the bottom of the window that appears, with Increase burn-in length by next to it. Type in here the iteration number up to which you want the burn-in period to run (this will give a burn-in length of the number you type in plus the burn-in length you were already using to run MCMC) and select Apply and Done. The 'posterior mean' estimate in the MCMC diagnostics window is now the parameter estimate under this longer burn-in and the 'SD' is the standard error of the parameter estimate. You can now click on the trajectory graph for any other parameter and the 'posterior mean' and the 'SD' will be adjusted to take into account the longer burn in (i.e. you do not need to select the Diagnostic Settings button for all the other parameters). Note however that the estimates displayed above the trajectory graphs in the Trajectories window will not be updated, and nor will the estimates displayed in the Equations window, the estimates stored in c1096-c1099, or the stacked parameter chains in c1090. Note also that the length of the monitoring chain (the iterations after the burn-in period) will be reduced by the same amount that the burn-in is increased.
When you run MCMC from a macro, it can appear as if it gets stuck in the burn-in period. This is due to the behaviour of the display: when MCMC is run from a macro, the 'Burning in' message is displayed just as it is when you use the GUI, but when the burn in is finished and the monitoring chain iterations start, the progress bar that you see when running from the GUI does not appear (and so the 'Burning in' message does not disappear). You can check that the requested iterations have in fact taken place by scrolling down to c1090 in the Names window (this being the column where the stacked chains of parameter estimates are stored). c1090 should contain a number of entries corresponding to the number of requested iterations times the number of parameters.
There is no way to get the progress bar to appear at the bottom during the monitoring chain phase; however you can make the numbers in the Equations window update during estimation as they do when you use the GUI using 'Start 1' instead of 'Start' (see section 8.4.1 of the Manual Supplement for v2.10 for more details).