Hi Aldo,
Judging from the mode check plots a few parameters are still away from their mode. I’m talking about: rho_i, phi_i, kappa_b, etaf, a22, a13, a21 and a32. I guess you used mode_compute=6, since you are able to estimate the model right after mode finding. If you would have used another mode finding routine you would have ended up with a warning message saying that the hessian matrix at the “mode” is not positive definite. However, under mode_compute=6 you might need a lot more draws later for the MCMC. The explanation for this can be found here . Since you are working with a larger model I would say in the millions.
Best,
Robert