Hello to all,
I have been working on GMM estimation in a 3-equation New Keynesian model (the one described in https://sites.nd.edu/esims/files/2024/03/notes_new_keynesian_2024-1.pdf page 41), in order to match the data to the model I have followed the excellent guide https://drive.google.com/file/d/1r89OU5OE3CBa6tOlj6l3hNVWEaRH5Anv/view for obtaining the output gap, interest, and inflation rates. For all variables I have computed the log(var)-TREND, where the TREND is the one-sided HPF applied to the log series. For inflation var=Pt/(Pt-1) and for monetary policy rates var=(1+R/(4*100)).
Do you know why I could be getting these errors and very large values for some parameters when using the GMM procedure?
Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND = 1.100689e-20.
> In **\[mom.standard_errors\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘mom.standard_errors’, ‘/Applications/Dynare/6.4-arm64/matlab/+mom/standard_errors.m’, 119))** (\[line 119\](matlab: opentoline(‘/Applications/Dynare/6.4-arm64/matlab/+mom/standard_errors.m’,119,0)))
> In **\[mom.run\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘mom.run’, ‘/Applications/Dynare/6.4-arm64/matlab/+mom/run.m’, 588))** (\[line 588\](matlab: opentoline(‘/Applications/Dynare/6.4-arm64/matlab/+mom/run.m’,588,0)))
> In **\[Copy_of_NKMMM.driver\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘Copy_of_NKMMM.driver’, ‘/Users/s/Documents/MacroCodesDynare/RBC_MoM/+Copy_of_NKMMM/driver.m’, 369))** (\[line 369\](matlab: opentoline(‘/Users/s/Documents/MacroCodesDynare/RBC_MoM/+Copy_of_NKMMM/driver.m’,369,0)))
> In **\[dynare\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘dynare’, ‘/Applications/Dynare/6.4-arm64/matlab/dynare.m’, 308))** (\[line 308\](matlab: opentoline(‘/Applications/Dynare/6.4-arm64/matlab/dynare.m’,308,0)))
Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND = 1.100689e-20.
> In **\[mom.run\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘mom.run’, ‘/Applications/Dynare/6.4-arm64/matlab/+mom/run.m’, 590))** (\[line 590\](matlab: opentoline(‘/Applications/Dynare/6.4-arm64/matlab/+mom/run.m’,590,0)))
> In **\[Copy_of_NKMMM.driver\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘Copy_of_NKMMM.driver’, ‘/Users/s/Documents/MacroCodesDynare/RBC_MoM/+Copy_of_NKMMM/driver.m’, 369))** (\[line 369\](matlab: opentoline(‘/Users/s/Documents/MacroCodesDynare/RBC_MoM/+Copy_of_NKMMM/driver.m’,369,0)))
> In **\[dynare\](matlab:matlab.lang.internal.introspective.errorDocCallback(‘dynare’, ‘/Applications/Dynare/6.4-arm64/matlab/dynare.m’, 308))** (\[line 308\](matlab: opentoline(‘/Applications/Dynare/6.4-arm64/matlab/dynare.m’,308,0)))
RESULTS FROM GMM ESTIMATION
parameters
Estimate s.d. t-stat
sigma 0.0781 0.0557 1.4020
rhou 0.0492 0.0714 0.6895
phiy 4317.6339 1032959.5307 0.0042
phipi 3837.7844 916518.6997 0.0042
standard deviation of shocks
Estimate s.d. t-stat
eps_r_f 0.0021 0.0005 4.6238
eps_u 0.0057 0.0004 13.6162
eps_v 78.3085 18726.3468 0.0042
I will appreciate any comments. Thank you very much.
Copy_of_NKMMM.mod (948 Bytes)
mydata.mat (2.2 KB)