Bayesian Estimation_error message_problem to call xls file

Estimation ML/Bayesian estimation
1

Hi,

I am trying to estimate a model using 2 observables Y,C and also 2 parameters using the below block:

estimated_params;
kappa_p, Gamma_pdf,40.5,0.5;
theta, Gamma_pdf,18,0.5;
end;
varobs Y,C;
estimation(datafile=Euro,mh_nblocks=3,mh_replic=5000,mh_jscale=3,mh_init_scale=12) C,Y;

BUT i receive the message:

"Error using NaN
NaN and Inf not allowed.
Error in : (line 79)
C.time = NaN(m,2);
Error in dseries (line 137)
ts.dates = init:init+(nobs(ts)-1);
Error in makedataset (line 121)
DynareDataset = dseries(datafile);
Error in dynare_estimation_init (line 538)
[dataset_, dataset_info, newdatainterfaceflag] = makedataset(options_,
options_.dsge_var*options_.dsge_varlag, gsa_flag);
Error in dynare_estimation_1 (line 116)
dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);
Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);
Error in Baeysian_DSGE_19 (line 510)
oo_recursive_=dynare_estimation(var_list_);
Error in dynare (line 235)
evalin(‘base’,fname) ; "

the model is solved properly with the stoch_simul command but not with Bayesian estimation.
Any help?

Mike

2

There is an issue with your data-file, but without seeing the file, it is impossible to tell.

3

@jpfeifer attached you may find the data file (it contains quarterly data for Y and C) and it is stored in C:\dynare\4.5.7\matlab which is also the path with the rest mod file.

Attached you may find also the mod file.
Bayesian test.mod (6.7 KB)
Euro.xls (22 KB)

4

When I run your code, Dynare complains about the steady state not being found. Is there a steady state file missing?
In any case, the variables in your data file contain a trend. That will not work.

5

@jpfeifer, after reading your paper i tried to include 2 simple observables equations in the model in order to estimate. However while the model runs and produces results i have troubles with the estimation part.

I receive the below message:
Error using dynare_estimation_init (line 352)
Estimation: the ‘estimated_params’ block is mandatory (unless you are running a smoother)

Error in dynare_estimation_1 (line 116)
dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);

Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);

Error in Baeysian_test (line 473)
oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 235)
evalin(‘base’,fname) ;

What exactly should i do with the estimated_params command? Do i need to add some parameters? I thought that when i input observables it is not neccesary to add them

Attached you may find the code and the file use.
Baeysian_test.mod (6.7 KB) Simuldata.xls (20.5 KB)

Regards
Michael

6

If you want to do Bayesian estimation, you need to tell Dynare which parameters are supposed to be estimated. Otherwise, there is nothing to do.