# ML/Bayesian estimation **URL:** https://forum.dynare.org/c/estimation/mlbayesianestimation/17.md [Latest](https://forum.dynare.org/latest.md) · [Categories](https://forum.dynare.org/categories.md) --- ## [About the ML/Bayesian estimation category](https://forum.dynare.org/t/about-the-ml-bayesian-estimation-category/10426)
**Author:** [@jpfeifer](https://forum.dynare.org/u/jpfeifer)\ **Replies:** 1\ **Last updated:** [10 January 2020 09:17 UTC](https://forum.dynare.org/t/about-the-ml-bayesian-estimation-category/10426 "2020-01-10T09:17:29Z")
Questions related to frequentist full information estimation (maximum likelihood (ML)) and Bayesian estimation. Questions related to Kalman and particle filters for constructing the likelihood also belong here. --- ## [Filter and parameter uncertainty](https://forum.dynare.org/t/filter-and-parameter-uncertainty/5843)
**Author:** [@joff](https://forum.dynare.org/u/joff)\ **Replies:** 8\ **Last updated:** [7 October 2026 13:18 UTC](https://forum.dynare.org/t/filter-and-parameter-uncertainty/5843 "2026-10-07T13:18:56Z")
Hi. I am using Bayesian approach to estimate the so-called multivariate filter (MVF) model and obtain output gap estimates. My problem is that I would like to have bands around those estimates. However, it seems that th… --- ## [Parallel estimation in Linux gets stuck after mode](https://forum.dynare.org/t/parallel-estimation-in-linux-gets-stuck-after-mode/20991)
**Author:** [@manuelgonzalez](https://forum.dynare.org/u/manuelgonzalez)\ **Replies:** 14\ **Last updated:** [16 September 2026 20:45 UTC](https://forum.dynare.org/t/parallel-estimation-in-linux-gets-stuck-after-mode/20991 "2026-09-16T20:45:22Z")
I set up the configuration file and ran the parallel\_test step with satisfactory results (Test for Cluster computation, computer localhost … Passed!) However, when I actually run the estimation, Dynare gets stuck after c… --- ## [Simulation after Estimation problem](https://forum.dynare.org/t/simulation-after-estimation-problem/28452)
**Author:** [@magonfru1](https://forum.dynare.org/u/magonfru1)\ **Replies:** 2\ **Last updated:** [25 August 2026 17:59 UTC](https://forum.dynare.org/t/simulation-after-estimation-problem/28452 "2026-08-25T17:59:26Z")
Hi, I am a fairly advanced user of dynare, and I have built several models, calibrated them, simulated them and estimated them. As I have done several times, I estimated a model, usually SOE-NK, and then run simulations… --- ## [Parameters are PAIRWISE collinear!](https://forum.dynare.org/t/parameters-are-pairwise-collinear/22532)
**Author:** [@TuyenTran\_NUIG](https://forum.dynare.org/u/TuyenTran_NUIG)\ **Replies:** 20\ **Last updated:** [25 August 2026 05:55 UTC](https://forum.dynare.org/t/parameters-are-pairwise-collinear/22532 "2026-08-25T05:55:27Z")
Hi all, I am working on estimation using Bayesian for a simple DSGE model. I got the following errors. I have read most related posts about these errors but can not find where they come from. Any suggestions or comment… --- ## [Estimating using parallel gets stuck](https://forum.dynare.org/t/estimating-using-parallel-gets-stuck/23168)
**Author:** [@lukas1](https://forum.dynare.org/u/lukas1)\ **Replies:** 5\ **Last updated:** [14 August 2026 14:10 UTC](https://forum.dynare.org/t/estimating-using-parallel-gets-stuck/23168 "2026-08-14T14:10:05Z")
I try to estimate a standard model using parallel computing on a single computer with many cores. It happens frequently that Dynare gets caught in an infinite loop within the masterParallel function, i.e. I get no error… --- ## [Slice sampler: how many chains and draws should I choose?](https://forum.dynare.org/t/slice-sampler-how-many-chains-and-draws-should-i-choose/21713)
**Author:** [@Romero](https://forum.dynare.org/u/Romero)\ **Replies:** 6\ **Last updated:** [5 August 2026 14:08 UTC](https://forum.dynare.org/t/slice-sampler-how-many-chains-and-draws-should-i-choose/21713 "2026-08-05T14:08:48Z")
Dear all, I was wondering where I can find guidance on the use of the slice sampler. The only paper I am aware of is the 2015 Planas/ Ratto/ Rossi paper ( https://archives.dynare.org/DynareConference2015/papers/Ratto\_P… --- ## [Drawing parameters from posterior for simulations](https://forum.dynare.org/t/drawing-parameters-from-posterior-for-simulations/28426)
**Author:** [@Romero](https://forum.dynare.org/u/Romero)\ **Replies:** 0\ **Last updated:** [3 July 2026 12:39 UTC](https://forum.dynare.org/t/drawing-parameters-from-posterior-for-simulations/28426 "2026-07-03T12:39:31Z")
Hi All, I have the following basic question: I have an estimated (linear) model, where I have done the posterior simulations using the RWMH (3 chains, 500000 draws each). I would like to do simulations (not simply IRFs)… --- ## [Bayesian estimation problem help](https://forum.dynare.org/t/bayesian-estimation-problem-help/28375)
**Author:** [@wh\_shnu](https://forum.dynare.org/u/wh_shnu)\ **Replies:** 5\ **Last updated:** [10 June 2026 08:59 UTC](https://forum.dynare.org/t/bayesian-estimation-problem-help/28375 "2026-06-10T08:59:57Z")
est4\_udiag3.eps (76.9 KB) est4\_udiag4.eps (55.5 KB) est4\_udiag1.eps (78.7 KB) est4\_udiag2.eps (76.6 KB) est4\_CheckPlots2.eps (19.3 KB) est4\_CheckPlots1.eps (47.0 KB) est4\_PriorsAndPosteriors1.eps (142.8 KB) est… --- ## [Prior distribution with lower bound of 0.01 but posterior distribution in negative range](https://forum.dynare.org/t/prior-distribution-with-lower-bound-of-0-01-but-posterior-distribution-in-negative-range/28350)
**Author:** [@Romero](https://forum.dynare.org/u/Romero)\ **Replies:** 7\ **Last updated:** [10 May 2026 09:52 UTC](https://forum.dynare.org/t/prior-distribution-with-lower-bound-of-0-01-but-posterior-distribution-in-negative-range/28350 "2026-05-10T09:52:14Z")
Hello everyone, I have the following question: Assume I have a prior distribution with positive support. In my case, these are the relevant lines from the estimated\_params block: @{co}\_gammaimc1,(p\_@{co}\_gammaimc1),0.0… --- ## [Aligning Observations to model variables](https://forum.dynare.org/t/aligning-observations-to-model-variables/28285)
**Author:** [@Badras](https://forum.dynare.org/u/Badras)\ **Replies:** 8\ **Last updated:** [16 April 2026 23:03 UTC](https://forum.dynare.org/t/aligning-observations-to-model-variables/28285 "2026-04-16T23:03:52Z")
Hi Prof, I have read your paper “Specifying Observation Equations” but just wanted to clarify some stuff. If my Model is RBC and variables are in levels. Since the data I have for Consumption exhibit a trend, then de-t… --- ## [Bayesian Estimation of a TANK-DSGE model](https://forum.dynare.org/t/bayesian-estimation-of-a-tank-dsge-model/28282)
**Author:** [@Fan\_Haoran](https://forum.dynare.org/u/Fan_Haoran)\ **Replies:** 2\ **Last updated:** [3 April 2026 00:50 UTC](https://forum.dynare.org/t/bayesian-estimation-of-a-tank-dsge-model/28282 "2026-04-03T00:50:17Z")
Hello Dynare comminity, I have a TANK-DSGE model with Ricardian households and hand-to-mouth households, used to simulate shocks under different fiscal rules. The model has been log-linearized. When parameters are set … --- ## [Bayesian IRF with correlated shocks](https://forum.dynare.org/t/bayesian-irf-with-correlated-shocks/28277)
**Author:** [@jimmyk](https://forum.dynare.org/u/jimmyk)\ **Replies:** 2\ **Last updated:** [4 March 2026 13:29 UTC](https://forum.dynare.org/t/bayesian-irf-with-correlated-shocks/28277 "2026-03-04T13:29:33Z")
I have a DSGE model with multiple shocks, two of which (called v\_u and v\_d) I allow to be correlated. When I do Bayesian IRFs, the responses if the endogenous variable to v\_u incorporate effects of v\_d as well because of… --- ## [Sigh...same tired old question about observation equations and models](https://forum.dynare.org/t/sigh-same-tired-old-question-about-observation-equations-and-models/28300)
**Author:** [@ChrisL](https://forum.dynare.org/u/ChrisL)\ **Replies:** 4\ **Last updated:** [3 March 2026 20:54 UTC](https://forum.dynare.org/t/sigh-same-tired-old-question-about-observation-equations-and-models/28300 "2026-03-03T20:54:35Z")
I have a complicated NK model implemented into dynare in levels (no growth trend, no exp() function; it is as straughtforward and “vanilla” as possible). Steady-state (using initval) comes out perfect; hits all targets. … --- ## [Estimation problem of ratio values](https://forum.dynare.org/t/estimation-problem-of-ratio-values/28288)
**Author:** [@asprilqjs](https://forum.dynare.org/u/asprilqjs)\ **Replies:** 1\ **Last updated:** [3 March 2026 13:35 UTC](https://forum.dynare.org/t/estimation-problem-of-ratio-values/28288 "2026-03-03T13:35:34Z")
Dear Professor, I have a question regarding the estimation of a DSGE model. Specifically, I am using C\_{obs} and Y\_{obs} as observables to estimate C\_t and Y\_t. I would like to ask if Scheme A for the measurement equati… --- ## [Where to find data for the following list of values](https://forum.dynare.org/t/where-to-find-data-for-the-following-list-of-values/28293)
**Author:** [@passthetowel](https://forum.dynare.org/u/passthetowel)\ **Replies:** 1\ **Last updated:** [3 March 2026 11:17 UTC](https://forum.dynare.org/t/where-to-find-data-for-the-following-list-of-values/28293 "2026-03-03T11:17:50Z")
I am trying to make a new keynesian model and calibrate these parameters towards the uk between the years of 1974 and 2016, but I am struggling to find these values. Where can I find the data for this? I have also heard… --- ## [Estimation results diagnostics check](https://forum.dynare.org/t/estimation-results-diagnostics-check/28274)
**Author:** [@vinayak](https://forum.dynare.org/u/vinayak)\ **Replies:** 1\ **Last updated:** [15 February 2026 16:47 UTC](https://forum.dynare.org/t/estimation-results-diagnostics-check/28274 "2026-02-15T16:47:17Z")
Dear @jpfeifer , Could you please check these diagnostics results and let me know if they are fine? settings used: estimation(datafile=trc, plot\_priors=1, mh\_replic=2000000, mode\_compute=5, additional\_optimizer\_steps=\[… --- ## [Measurement equations issuee](https://forum.dynare.org/t/measurement-equations-issuee/28204)
**Author:** [@medo](https://forum.dynare.org/u/medo)\ **Replies:** 1\ **Last updated:** [24 January 2026 10:34 UTC](https://forum.dynare.org/t/measurement-equations-issuee/28204 "2026-01-24T10:34:40Z")
Hi, I have a question about measurement equation. My model variables are in level and irfs in deviation from steady state. I want to specify measurement equations for parameter estimaation and proceed in the following wa… --- ## [Marginal likelihood code](https://forum.dynare.org/t/marginal-likelihood-code/3750)
**Author:** [@yaliallen](https://forum.dynare.org/u/yaliallen)\ **Replies:** 5\ **Last updated:** [18 January 2026 09:17 UTC](https://forum.dynare.org/t/marginal-likelihood-code/3750 "2026-01-18T09:17:33Z")
I know it is a stupid question…but I really can not find the marginal data density code in manual or user guide.is it in the “estimate”?I don not think it works when I code “marginal\_density()” after "estimate"command. … --- ## [Random starting points for mode-finding](https://forum.dynare.org/t/random-starting-points-for-mode-finding/27718)
**Author:** [@redbanana](https://forum.dynare.org/u/redbanana)\ **Replies:** 96\ **Last updated:** [7 January 2026 13:33 UTC](https://forum.dynare.org/t/random-starting-points-for-mode-finding/27718 "2026-01-07T13:33:01Z")
Okay. This is possibly offtopic and you may want to transfer it into a new topic, however: after the RW-MH, I want to conduct the following operation: “First, we try to estimate the DSGE model using a classical maximum … --- ## [Bayesian IRF Matching](https://forum.dynare.org/t/bayesian-irf-matching/23145)
**Author:** [@caca](https://forum.dynare.org/u/caca)\ **Replies:** 9\ **Last updated:** [5 December 2025 20:39 UTC](https://forum.dynare.org/t/bayesian-irf-matching/23145 "2025-12-05T20:39:46Z")
Hi, I was wondering whether Dynare supports Bayesian IRF Matching a la Christiano, Eichenbaum, Trabandt (2016 Econometrica) Thanks so much!! --- ## [complex non-linear DSGE model and steady state](https://forum.dynare.org/t/complex-non-linear-dsge-model-and-steady-state/28099)
**Author:** [@dalal\_loualid](https://forum.dynare.org/u/dalal_loualid)\ **Replies:** 3\ **Last updated:** [24 November 2025 23:02 UTC](https://forum.dynare.org/t/complex-non-linear-dsge-model-and-steady-state/28099 "2025-11-24T23:02:07Z")
Hello Dynare community! My model contains exactly 225 equations, covering three production sectors and distinguishing between \*\*SMEs (PME)\*\*and large enterprises (GE). Most equations are nonlinear and written in exp-for… --- ## [Generating Fan Charts for Perfect Foresight Simulations with expectation errors](https://forum.dynare.org/t/generating-fan-charts-for-perfect-foresight-simulations-with-expectation-errors/28093)
**Author:** [@Sarv1926](https://forum.dynare.org/u/Sarv1926)\ **Replies:** 1\ **Last updated:** [19 November 2025 08:46 UTC](https://forum.dynare.org/t/generating-fan-charts-for-perfect-foresight-simulations-with-expectation-errors/28093 "2025-11-19T08:46:34Z")
Dear all, I’m working with a DSGE model analyzing a policy reform path using perfect foresight simulations. I’ve already estimated shock standard deviations using Simulated Method of Moments (SMM). I’d like to generate … --- ## [Estimation error: in computing likelihood for initial parameter](https://forum.dynare.org/t/estimation-error-in-computing-likelihood-for-initial-parameter/16839)
**Author:** [@RodrigoTM](https://forum.dynare.org/u/RodrigoTM)\ **Replies:** 6\ **Last updated:** [17 November 2025 09:36 UTC](https://forum.dynare.org/t/estimation-error-in-computing-likelihood-for-initial-parameter/16839 "2025-11-17T09:36:25Z")
Hi. I’m trying to estimate the Gali-Monacelli (2005) open small economy based on Pfeifer’s code, but I’m receiving this message: Error in computing likelihood for initial parameter values ESTIMATION\_CHECKS: There was a… --- ## [Error in computing likelihood for initial parameter values... Help me plz!](https://forum.dynare.org/t/error-in-computing-likelihood-for-initial-parameter-values-help-me-plz/28095)
**Author:** [@JackChou](https://forum.dynare.org/u/JackChou)\ **Replies:** 1\ **Last updated:** [16 November 2025 14:56 UTC](https://forum.dynare.org/t/error-in-computing-likelihood-for-initial-parameter-values-help-me-plz/28095 "2025-11-16T14:56:40Z")
I have set estimated\_params; stderr e\_a1, inv\_gamma\_pdf,0.01, 0.2; % shape = 2.0 (mean exists) rhoGamma1, beta\_pdf, 0.8, 0.15; estimated\_params\_init(use\_calibration); //stderr e\_a1, 0.01; //rhoGamma1, 0.8; % mu,… --- ## [Smoothed Variables , SMC estimation](https://forum.dynare.org/t/smoothed-variables-smc-estimation/28013)
**Author:** [@vinayak](https://forum.dynare.org/u/vinayak)\ **Replies:** 5\ **Last updated:** [11 November 2025 17:17 UTC](https://forum.dynare.org/t/smoothed-variables-smc-estimation/28013 "2025-11-11T17:17:25Z")
Dear Prof @jpfeifer , After an SMC estimation, I see a variable matrix called smoother variables and updated variables in the results matrix. I see this even when I run a fresh mod file and after deleting the previous … --- ## [Testing observables using DSGE model](https://forum.dynare.org/t/testing-observables-using-dsge-model/28025)
**Author:** [@Luisa](https://forum.dynare.org/u/Luisa)\ **Replies:** 3\ **Last updated:** [3 November 2025 14:00 UTC](https://forum.dynare.org/t/testing-observables-using-dsge-model/28025 "2025-11-03T14:00:05Z")
Hello! I am estimating a standard NK model on an observable x, via Bayesian estimation, using Metropolis Hastings algorithm. The observable x is a series separately computed by me. I would like to test how “good/realis… --- ## [Gap-Trend model](https://forum.dynare.org/t/gap-trend-model/27950)
**Author:** [@Alia](https://forum.dynare.org/u/Alia)\ **Replies:** 23\ **Last updated:** [20 October 2025 21:56 UTC](https://forum.dynare.org/t/gap-trend-model/27950 "2025-10-20T21:56:12Z")
Hello Dynare folks, I am estimating and Gap-Trend model where unit root exist in some equations as in the definition of the quarterly (Q on Q) inflation, DL\_P = 4(P-P(-1)) where P is the log of CPI. Given the model is … --- ## [Mixed-frequency data identification](https://forum.dynare.org/t/mixed-frequency-data-identification/27954)
**Author:** [@asprilqjs](https://forum.dynare.org/u/asprilqjs)\ **Replies:** 5\ **Last updated:** [15 October 2025 07:23 UTC](https://forum.dynare.org/t/mixed-frequency-data-identification/27954 "2025-10-15T07:23:20Z")
Does using mixed-frequency data enhance the strength of parameter identification? --- ## [Constrained vs. unconstrained parameterization in Dynare’s MCMC](https://forum.dynare.org/t/constrained-vs-unconstrained-parameterization-in-dynare-s-mcmc/28022)
**Author:** [@Cro](https://forum.dynare.org/u/Cro)\ **Replies:** 3\ **Last updated:** [12 October 2025 17:32 UTC](https://forum.dynare.org/t/constrained-vs-unconstrained-parameterization-in-dynare-s-mcmc/28022 "2025-10-12T17:32:08Z")
Hello, Could you please clarify whether Dynare transforms parameters between constrained and unconstrained spaces during MCMC sampling? For example, if a parameter has a Beta prior (support (0, 1)), does Dynare apply a… [Next page](https://forum.dynare.org/c/estimation/mlbayesianestimation/17.md?page=1)