- The data file is missing to run your code
- If the model works in levels, but not with exp(), there was most probably a wrong/missing substitution somewhere. In any case, it is usually better to work with auxiliary equations to get a log-linearization. See Question about understanding irfs in dynare
- Getting the MLE estimates is hard. It is a lot of trial and error. The challenging part in the beginning is to make sure that the problems do not come from mistakes in the coding.
- I was trying to replicate their paper. Did you see the note
* CKM use the linearized model only to extract the investment wedge and the decision rules. All other wedges
* are computed based on the original nonlinear model equations. For this purpose, the capital stock is
* initialized at the steady state value in the first period and then iterated forwards. This mod-file also
* shows how to use the Kalman smoother to directly extract the smoothed wedges. As these are based on the
* linearized model, they differ from the ones derived from the nonlinear equations due to Jensen's Inequality.