Dear Dynare Team,

A set of codes developed in 2016 was running fine. Using the new Dynare version (4.5.6 instead of 4.5.3) and a newer version of Matlab I receive an error message related to the Kalman filter.

Would you be able to give me some advice? This is the error message I receive:

"There are 27 eigenvalue(s) larger than 1 in modulus

for 27 forward-looking variable(s)

The rank condition is verified.

You did not declare endogenous variables after the estimation/calib_smoother command.

initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.

initial_estimation_checks:: This is often a sign of stochastic singularity, but can also sometimes happen by chance

initial_estimation_checks:: for a particular combination of parameters and data realizations.

initial_estimation_checks:: If you think the latter is the case, you should try with different initial values for the estimated parameters.

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.

ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),

ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do

ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation

ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

Error using initial_estimation_checks (line 143)

initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became

singular.

Error in initial_estimation_checks (line 143)

error(‘initial_estimation_checks:: The forecast error variance in the multivariate Kalman

filter became singular.’)

Error in dynare_estimation_1 (line 165)

oo_ =

initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)

dynare_estimation_1(var_list,dname);

Error in XX_bayes (line 866)

oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 235)

evalin(‘base’,fname) ;"

I was trying to modify the initial parameter values, but it did not help.

Thank you.

Zsuzsa