I want to re-estimate a large-scale DSGE model from a colleague at another institution. On his computer with MATLAB 2018b/Dynare 4.4.3, the following estimation command works without warnings or error messages:
estimation(datafile=FILENAME, mode_file=FILENAME, order = 1, mode_compute=4, mh_replic=0, plot_priors = 0, mode_check) ger_gdp eur_gdp;
If I run the same code with the same data file and the same mode file on my computer with MATLAB 2019a/Dynare 4.5.3, I find exactly the same modes, but the posterior variances are NaN and I get the message:
“POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the “mode” is not positive definite!
=> posterior variance of the estimated parameters are not positive.
You should try to change the initial values of the parameters using
the estimated_params_init block, or use another optimization routine.”
Have there been any changes to how mode_compute=4 works between Dynare 4.4.3 and 4.5.3? I am wondering whether Dynare 4.4.3 erroneously did not point to any problems or whether there is a bug with mode_compute=4 in Dynare 4.5.3.
Thanks for any hints on this issue!