Hi All,
I have a file that estimates nicely in older versions of dynare (4.5.7 and 4.6.4). In dynare 5.4 the same file crashes (after a while) and throws the following error (I’ve checked 5.2 and 5.0 as well, with similar results):
Log data density [Laplace approximation] is NaN.
Error using chol
Matrix must be positive definite.
Error in posterior_sampler_initialization (line 84)
d = chol(vv);
Error in posterior_sampler (line 60)
posterior_sampler_initialization(TargetFun, xparam1, vv, mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);
I’m a bit surprised because I thought fmincon
is mainly doing the work, irrespective of dynare version, i.e., I would have expected similar behavior… I guess I’m hoping it’s not a bug that was subsequently fixed, but would be grateful for any pointers as to what could be the root cause of the issue (and how to fix it, ideally ).
Thanks in advance, and attaching files to replicate the issue (in 4.6.4 this goes into the MH phase, in 5.4 it dies before getting there…). For quick reference, this is the estimation command, in case something in the syntax has changed:
estimation(order=1, presample=5, datafile='PHL_obs_V6_upd_23Q2.csv', lik_init=2, first_obs =1, nobs=93, mh_replic=1000, mh_nblocks=1, mh_jscale=0.25, mode_compute =1, optim=('MaxIter', 100000),irf=40);
Thanks in advance for any help!
Pawel
ps. Mod file and csv. data file are in the attached .zip file:
MWE.zip (24.4 KB)