Error in computing the likelihood for initial parameter values

Estimation ML/Bayesian estimation
1

Hello !

I am trying to replicate the model of " Monetary policy transmission in China: A DSGE model with parallel shadow banking and interest rate control ", the stoch_simul can run well ,but there is a problem about bayesian estimation . the result is

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),
ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

Error using initial_estimation_checks (line 53)
initial_estimation_checks:: Estimation can’t take place because too many shocks have been calibrated with a zero variance!

Error in initial_estimation_checks (line 53)
error([‘initial_estimation_checks:: Estimation can’‘t take place because too many shocks have been calibrated with a zero variance!’])

Error in dynare_estimation_1 (line 165)
oo_ = initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);

Error in sb_est (line 569)
oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 223)
evalin(‘base’,fname) ;

I don’t know where the mistakes are , can anyone help me ,thank you !
Here is my code and date.sb_est.zip (17.5 KB)

2

For estimation, you need (at least) as many shocks as observables.

3

thank you, professor.
the code includes 3 shocks and 2 observable variable , and there is still a error about computing likelihood.
and how to fix the error in the code , I hope to get your help, thank you.

Error in computing likelihood for initial parameter values

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),
ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

Error using print_info (line 42)
Blanchard Kahn conditions are not satisfied: no stable equilibrium

Error in print_info (line 42)
error([‘Blanchard Kahn conditions are not satisfied: no stable’ …

Error in initial_estimation_checks (line 175)
print_info(info, DynareOptions.noprint, DynareOptions)

Error in dynare_estimation_1 (line 165)
oo_ = initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);

Error in sb_est (line 582)
oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 223)
evalin(‘base’,fname) ;

4

If your model has a unit root, you will get such an error when you do not set diffuse_filter

5

professor, I have already set diffuse_filter in estimation ,but estimation can’t run and show the same error , I want to know what cause the estimatin can’t failure to run and how to fix the code , thank you professor.

6

Are you using a working calibration as the starting values for estimation?

7

Yes , I have had made a mistake about time problem which result in blanchard- kahn is not satisfied, I will fix this error. thank you ,professor.