I’m running the estimation of a model and I face the following problem, the Cholesky matrix is non positive definite. I know that in order to solve the problem we can start by changing the algorithm but if this does not work, the second solution is to change the prior of the parameters. My question is the following, how do you know if the new value of the prior improve the estimation procedure or not ? How to know if we work in the good direction ?
Thanks in advance for your answers.
Once you have checked at the plots ? What are the criteria that guide you to know which prior you have to change but also if you need to increase or decrease the value of the prior ?
Thanks in advance.
How can you identify what are the problems based on the graphs ( identification errors vs others) ? Also I have another question because I have seen on another topic that you have made this suggestion: how can you tell to dynare to start the new estimation procedure based on the previous run ? For instance, if I want to change the alogrithm and try to estimate it again, how can I tell to dynare not to start from 0 but instead to start from the previous run with the previous algorithm ? Thanks in advance for your reply and for your time.
Ok I see what you mean, but for instance if I change the algorithm this is no longer the case, is it normal ?
Secondly, how do you save an estimation run results in order to use it for another run and to try to improve the estimation ?
Because I have the impression that if I just add the mode_file option in the estimation command, it does not change the results and the values in the hessian matrix hh.
I will rephrase it more clearly, when you do a first run of the estimation with for instance algorithm 4, if it does not converge and if the hessian is not positive definite, you can still try with another algorithm that will start from the previous run that failed no ?
I mean, instead of starting again from 0 with another algorithm, you can try to start from the previous run that will try to improve what algorithm 4 has done previously no ?