For the prior distribution I just follow the literature use Gamma and Beta distribution and set the lower and upper bound to be 0.0000001 and 0.999999. Do you mean I should use a different kind of distribution or different upper or lower bound values?

After several rounds of posterior estimation Dynare just stops, for example:

# ==========================================================

Change in the posterior covariance matrix = 4.

Change in the posterior mean = 8.9999.

Mode improvement = 167582702.3443

New value of jscale = 7.3019e-05

# ==========================================================

Change in the posterior covariance matrix = 0.00021355.

Change in the posterior mean = 8.9999.

Mode improvement = 167580397.4905

New value of jscale = 1.3039e-14

Error using chol

Matrix must be positive definite.

Error in gmhmaxlik_core (line 194)

dd = transpose(chol(CovJump));

Error in gmhmaxlik (line 100)

[PostMode, PostVariance, Scale, PostMean] = gmhmaxlik_core(fun, OldPostMode,

bounds, gmhmaxlikOptions, Scale, flag, MeanPar, OldPostVariance, varargin{:});

Error in dynare_minimize_objective (line 254)

[opt_par_values, hessian_mat, Scale, fval] = gmhmaxlik(objective_function,

start_par_value, …

Error in dynare_estimation_1 (line 220)

[xparam1, fval, exitflag, hh, options_, Scale, new_rat_hess_info] =

dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb

bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)

dynare_estimation_1(var_list,dname);

Error in simple8 (line 615)

oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 235)

evalin(‘base’,fname) ;

Warning: A value of class “matlab.internal.video.PluginManager” was indexed with no subscripts

specified. Currently the result of this operation is the indexed value itself, but in a future

release, it will be an error.

In matlab.internal.VideoReader/createChannel (line 495)

In matlab.internal.VideoReader (line 192)

In VideoReader/init (line 598)

In VideoReader (line 171)

In finfo>getVideoInfo (line 205)

In finfo>openAsMultimediaFile (line 194)

In finfo (line 79)

In open (line 115)

In uiopen (line 175)

When I use mode_compute=9, I often get the warning:

Warning: Non-finite fitness range

In cmaes (line 974)

In dynare_minimize_objective (line 360)

In dynare_estimation_1 (line 220)

In dynare_estimation (line 105)

In simple8 (line 615)

In dynare (line 235)

And some results like this:

RESULTS FROM POSTERIOR ESTIMATION

parameters

prior mean mode s.d. prior pstdev

rhoR 0.750 0.7941 NaN beta 0.1500

rpi 1.200 1.1392 NaN gamm 0.0500

rdeltay 0.200 0.4434 NaN gamm 0.0500

b 0.660 0.7650 NaN beta 0.1000

alfa 0.330 0.1710 NaN beta 0.0300

s 0.850 0.8550 NaN beta 0.0500

DSHARE 0.318 0.1196 NaN beta 0.1000

sigma 0.500 0.7234 NaN beta 0.1000

rho_g 0.700 0.1717 NaN beta 0.2000

rho_w 0.700 0.6510 NaN beta 0.2000

rho_nD 0.700 0.6496 NaN beta 0.2000

rho_t 0.700 0.4825 NaN beta 0.2000

rho_i 0.700 0.2989 NaN beta 0.2000

rho_nH 0.700 0.9177 NaN beta 0.2000

rho_lp 0.700 0.7202 NaN beta 0.2000

rho_me 0.700 0.5616 NaN beta 0.2000

rho_Ome 0.700 0.2432 NaN beta 0.2000

rho_lq 0.700 0.6188 NaN beta 0.2000

rho_gb 0.500 0.6771 NaN gamm 0.2500

rho_wb 0.500 0.6160 NaN gamm 0.2500

rho_nDb 0.500 0.5114 NaN gamm 0.2500

rho_gy 0.050 0.1116 NaN norm 0.0500

rho_wy 0.150 0.0804 NaN norm 0.0500

rho_nDy 0.150 0.2994 NaN norm 0.0500

standard deviation of shocks

prior mean mode s.d. prior pstdev

mpol_eps 0.100 0.0118 NaN invg 2.0000

mpol_g 0.100 3.1587 NaN invg 2.0000

mpol_w 0.100 2.0438 NaN invg 2.0000

mpol_nD 0.100 0.8676 NaN invg 2.0000

mpol_t 0.100 4.8834 NaN invg 2.0000

mpol_i 0.100 5.8172 NaN invg 2.0000

mpol_nH 0.100 2.6733 NaN invg 2.0000

mpol_lp 0.100 4.6842 NaN invg 2.0000

mpol_me 0.100 4.3395 NaN invg 2.0000

mpol_Ome 0.100 4.8172 NaN invg 2.0000

mpol_lq 0.100 0.8281 NaN invg 2.0000

Log data density [Laplace approximation] is NaN.

Error using chol

Matrix must be positive definite with real diagonal.

Error in posterior_sampler_initialization (line 84)

d = chol(vv);

Error in posterior_sampler (line 60)

posterior_sampler_initialization(TargetFun, xparam1, vv,

mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);

Error in dynare_estimation_1 (line 448)

posterior_sampler(objective_function,posterior_sampler_options.proposal_distribution,xparam1,posterior_sampler_options,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);

Error in dynare_estimation (line 105)

dynare_estimation_1(var_list,dname);

Error in simple8 (line 615)

oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 235)

evalin(‘base’,fname) ;