Log data density [Laplace approximation] is NaN

Dynare help (legacy posts)
2

  1. You are still not supposed to use an HP-filter for model estimation via ML/Bayesian techniques. See Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf

  2. The mode_check plots clearly show you the problem. The estimate for alpha_gc is at the boundary of the parameter range allowed by the prior. No interior maximum has been attained. You might want to try a more informative prior.