It is often a good idea to estimate a model on artificial data consistent with the model, before attempting to confront the model to real world data.
Here is an example based on the RBC model with investment suggested by Jesus Fernandez-Villaverde in its collection of examples.
rbc_investment0.mod simulates and saves the data
rbc_investment1.mod estimates the parameters
Michel
rbc_investment1.mod (2.43 KB)
rbc_investment0.mod (2.23 KB)