Dear Professor Pfeifer
I have attached a mod file here to show what I mean by my question and I will be thankful if you could guide me on how I should proceed with this.
I have two variables in the model, z and thetah which follow an AR(1) process and there is a break in the process in period 100:
for t<100;
z=rhoz * z(-1) + sigmaz * eps;
thetah = rhot * thetah(-1) + sigmat * nu;
for t>100;
z=rhoz2 * z(-1) + sigmaz2 * eps;
thetah = rhot2 * thetah(-1) + sigmat2 * nu;
I estimate these process by defining an auxilary “Exogenous and Deterministic” variable aux which takes a value of 1 before t=100 and takes a value of 0 after 100.
That is I have :
z = rhoz * aux * z(-1) + rhoz2 * (1-aux) * z(-1) + sigmaz * aux * eps + sigmaz2 * (1-aux) * eps ;
thetah = rhot * aux * thetah(-1) + rhot2 * (1-aux) * thetah(-1) + sigmat * aux * nu + sigmat2 * (1-aux) * nu ;
And In the shock section I define it as follows:
var aux;
periods 1:100 101:216;
values 1 0 ;
I have attached the file and its data file here. When I run dynare I get the following error:
"ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
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):
Subscripted assignment dimension mismatch."
Could you please let me know what I am doing wrong? I have looked at a lot of threads in the forum but have not found anything that can help me with this. The closest thing to my question is Structural break in Bayesian estimation and DYNARE syntaxis which I really don’t get the proposed response of Michel to solve this problem. I will be very thankful if you could help me with this. I understand that you have a lot to do but I ma growing hopeless over here with this.
Thanks a lot for your consideration,
J
example_break.mod (1.8 KB)