i post the code and data for the model. it is a large 2-country model .
but i am estimating only 8 ( +4) parameters including the shock AR(1) s and std errors.
i am only using 2 data series and 2 shocks. i have a lot of data with me, but the optimisation got stuck and hence i thought of using minimal data , get reasonable estimates and then add more data. but even now, i cannot get a proper mode with these gradient methods. i will need to code something myself to get the mode, i think.
i did the MCMC without getting the mode, for the moment.
that may be the reason that it is getting me this ‘warning’ sign.
anyways, thanks for your help and please examine the files.
files.zip (330 KB)