Hi!

I’m trying to estimate a model, but I’m stucked in finding the mode. I’ve gone through all options of mode_compute, but in all I get an error saying that the hessian is not positive definite. The only ones that seems to work is mode_compute=2, 6, but the final results shows poor convergence (this version only has 100k, but I’ve tried with 3M and it doesn’t seem to converge).

I have 3 questions: 1) what could I do to compute the mode? Is this, most likely, caused by model misspecification? problems with the data?

2) I read in the book by herbst and schorfheide (2016) that when there are problems computing the mode, it might be a good idea to use different methods. Dynare has ‘HSSMC’ option, but would be a viable alternative? Is there a rule-of-thumb for the number of steps and particles that I would need to use?

3) In case of using mode_compute=6, should I try to estimate really long chains? Say, for example, 10M?

4) Should I be worried about the other methods not computing the mode?

Thanks!

data_use.mat (13.6 KB)

steady_modelV6.mod (14.1 KB)