Estimating three equation NK model

Estimation ML/Bayesian estimation
1

Hi,

I am trying to estimate three equation NK model (eg. Gali textbook model) with US data.
But the estimation results are not very convincing. Calvo parameter is 0.4365 and Taylor rule coefficient on inflation is 3.06 etc…
I have tried many attempts but I don’t know how to do this correctly. Any help would be greatly appreciated.

simple_NK.mod (1.5 KB)
cff_data.xlsx (14.4 KB)
simple_NK.log (9.3 KB)

2

The results with mode_compute=5 don’t look too bad:
simple_NK.mod (1.6 KB)

The problem is the Hessian at the mode.