# Dynare issues and DSGE modelling **URL:** \ **Category:** Replication Attempts\ **Created:** [5 January 2024 20:24 UTC](https://forum.dynare.org/t/dynare-issues-and-dsge-modelling/24908 "2024-01-05T20:24:38Z")\ **Posts on this page:** 3\ **Page:** 1
**Author:** ![gabriellaneilon](https://forum.dynare.org/letter_avatar_proxy/v4/letter/g/c68b51/32.png) [@gabriellaneilon](https://forum.dynare.org/u/gabriellaneilon)\ **Post date:** [5 January 2024 20:24 UTC](https://forum.dynare.org/t/dynare-issues-and-dsge-modelling/24908/1 "2024-01-05T20:24:38Z")
Hello, I am currently replicating the following for my Advanced Time Series Master’s project: to estimate the DSGE model(s) in Ch4 in the Handbook of Bayesian Econometrics by Marco Del Negro and Fran Shordfeide (2010). With the following instructions: ˆ Estimate the model(s). ˆ Report your estimation results and discuss. – Report steady states of the model. – Prior distribution and posterior estimates for all models (in one table). – MCMC acceptance rates. – IRFs. 1.2 Evaluation Report and discuss the followings: ˆ Predictive checks: Prior check and mode check. ˆ Posterior-odd ratio. ˆ DSGE vs VAR (optional). ˆ Figure of posterior distribution. ˆ MCMC. I have already successfully simulated the model, but as soon as I incorporate my data I run into issues. I have even differenced my variables and tried again but no luck. I obtained Euro Area data Here is my code: (as well as the transformations I also tried) data=readtimetable(“Data.xlsx”) data=data(54:end, 1:end) Y\_ldiff = diff(log(data.Y)); C\_ldiff=diff(log(data.C)); H\_ldiff= diff(log(data.H)); I\_ldiff=diff(log(data.I)); i\_diff = diff(data.i); Data\_diff = array2timetable([Y\_ldiff C\_ldiff H\_ldiff I\_ldiff i\_diff],… ‘RowTimes’,data.Date(2:end),‘VariableNames’,{‘ydiff’ ‘C\_ldiff’ ‘hdiff’ ‘I\_ldiff’ ‘i\_diff’}); //---------------------------------------------------------------- // 1. Endogenous variables //---------------------------------------------------------------- var Y C I K H W R a B A ydiff hdiff; //---------------------------------------------------------------- // 2. Exogenous variables (3) //---------------------------------------------------------------- varexo e\_a e\_b; //---------------------------------------------------------------- // 3. Parameters //---------------------------------------------------------------- parameters B\_star alpha //capital output share// capital elasticity in the production function beta //household subjective discount factor gamma // DETERMINISTIC TREND COMPONENT OF TECHNOLOGY GROWTH rho\_a // persistence of tech progress rho\_b sigma\_a sigma\_b delta //depreciation rate nu //the aggregate labor supply elasticity tau; // B\_star=1; alpha=0.66; rho\_a = 0.01; rho\_b= 0.8; tau = 0.025; beta = 0.99; delta = 0.025; nu = 2; gamma = 1.49; sigma\_a= 0.01; sigma\_b= 0.01; //---------------------------------------------------------------- // 4. Model //---------------------------------------------------------------- model; 1/C=beta\*(1/C(+1))_exp(-a(+1))_(R(+1) + (1-delta)); 1/C_W=1/B_(H/B)^(1/nu); W=alpha\*(Y/H); R=(1-alpha)\*(Y/K)\*exp(a); Y=H^alpha\*(K\*exp(-a))^(1-alpha); Y=C+I; K=(1-delta)\*K(-1)\*exp(-a)+I(-1); a=ln(gamma)+(rho\_a-1)_ln(A(-1))+sigma\_a_e\_a; ln(A)=rho\_a_ln(A(-1))+sigma\_a_e\_a; ln(B)=(1-rho\_b)_log(B\_star)+rho\_b_ln(B(-1))+sigma\_b\*e\_b; ydiff=gamma+Y-Y(-1)+a; hdiff=H-H(-1); end; initval; Y=1; C=0.6696; I=0.3304; K=0.95585; H=0.5; W=1.32; R=0.53; a=0.4; B=1; A=1; end; //---------------------------------------------------------------- // 5. Shocks //---------------------------------------------------------------- shocks; var e\_a; stderr 0.01; var e\_b; stderr 0.01; end; //---------------------------------------------------------------- // 6. The Steady State Model //---------------------------------------------------------------- steady; check; //---------------------------------------------------------------- // 7. Estimation of Parameters //---------------------------------------------------------------- estimated\_params; alpha, 0.66,-0.000000000000001,0.999999999999,BETA\_PDF,0.66,0.02; gamma,0.003,-10000,99999999999,NORMAL\_PDF,0,.1; nu,0.4,-1E-15,999999999999,GAMMA\_PDF,2,1; rho\_a,0.95,-1E-15,0.999999999999,BETA\_PDF,0.95,0.02; rho\_b,0.98,-1E-15,0.999999999999,BETA\_PDF,0.8,0.1; stderr e\_a,0.01,-1E-15,999999999999,INV\_GAMMA\_PDF,0.015,4; stderr e\_b,0.007,-1E-15,999999999999,INV\_GAMMA\_PDF,0.01,4; end; varobs ydiff hdiff; estimation(datafile=DSGE\_data\_diff,xls\_sheet=DSGE\_data\_diff,nobs=114,mh\_replic=1000,mh\_jscale=0.5); And my output/error that I get: Configuring Dynare … [mex] Generalized QZ. [mex] Sylvester equation solution. [mex] Kronecker products. [mex] Sparse kronecker products. [mex] Local state space iteration (second order). [mex] Bytecode evaluation. [mex] k-order perturbation solver. [mex] k-order solution simulation. [mex] Quasi Monte-Carlo sequence (Sobol). [mex] Markov Switching SBVAR. Using 64-bit preprocessor Starting Dynare (version 4.5.4). Starting preprocessing of the model file … Found 12 equation(s). Evaluating expressions…done Computing static model derivatives: - order 1 Computing dynamic model derivatives: - order 1 - order 2 Processing outputs … done Preprocessing completed. STEADY-STATE RESULTS: Y 0.78787 C 0.5276 I 0.26027 K 0.753013 H 0.990366 W 0.525053 R 0.530051 a 0.398776 B 1 A 1 ydiff 1.88878 hdiff 0 EIGENVALUES: Modulus Real Imaginary ``` 0 -0 0 1.691e-18 -1.691e-18 0 2.435e-16 2.435e-16 0 0.01 0.01 0 0.6271 0.6271 0 0.8 0.8 0 1.611 1.611 0 3.515e+16 3.515e+16 0 Inf -Inf 0 ``` There are 3 eigenvalue(s) larger than 1 in modulus for 3 forward-looking variable(s) The rank condition is verified. You did not declare endogenous variables after the estimation/calib\_smoother command. Error using load\_mat\_file\_data\_legacy makedataset: The variable(s) ydiff, hdiff listed in varobs are not contained in the dataset Error in makedataset (line 128) DynareDataset = load\_mat\_file\_data\_legacy(datafile, DynareOptions.varobs); Error in dynare\_estimation\_init (line 538) [dataset\_, dataset\_info, newdatainterfaceflag] = makedataset(options\_, options\_.dsge\_var\*options\_.dsge\_varlag, gsa\_flag); Error in dynare\_estimation\_1 (line 116) dynare\_estimation\_init(var\_list\_, dname, , M\_, options\_, oo\_, estim\_params\_, bayestopt\_); Error in dynare\_estimation (line 105) dynare\_estimation\_1(var\_list,dname); Error in ModifiedDSGEmodels (line 240) oo\_recursive\_=dynare\_estimation(var\_list\_); Error in dynare (line 223) evalin(‘base’,fname) ; ---
**Author:** ![Jingjing](https://forum.dynare.org/letter_avatar_proxy/v4/letter/j/a88e57/32.png) [@Jingjing](https://forum.dynare.org/u/Jingjing)\ **Post date:** [7 January 2024 13:33 UTC](https://forum.dynare.org/t/dynare-issues-and-dsge-modelling/24908/2 "2024-01-07T13:33:17Z")
Since you did not upload `Data.xlsx`, so I could not run the compelete the file. But from the erros: `You did not declare endogenous variables after the estimation/calib_smoother command. Error using load_mat_file_data_legacy makedataset: The variable(s) ydiff, hdiff listed in varobs are not contained in the dataset` There are something wrong in `varobs ydiff hdiff bolck and estimation block` . We get the `Y_Idiff C_Idiff ...` from the data, so `ydiff and hdiff` are not consistent. ---
**Author:** ![gabriellaneilon](https://forum.dynare.org/letter_avatar_proxy/v4/letter/g/c68b51/32.png) [@gabriellaneilon](https://forum.dynare.org/u/gabriellaneilon)\ **Post date:** [8 January 2024 13:30 UTC](https://forum.dynare.org/t/dynare-issues-and-dsge-modelling/24908/3 "2024-01-08T13:30:11Z")
Hello! Thank you for replying! I have figured out what went wrong and my model is now running smoothly!