During an estimation, I am getting the error message below. My understanding from reading the posts on this topic is that this means (or likely means) that the point say fmincon converged to is not in fact the mode. I have one clarification question: What if dynare displays this error message, but still reports values for all the standard deviations of the estimated parameters (instead of ‘NaN’), as well as the la place approximation of the marginal density. I thought the la place approximation and the standard deviations of the estimates and are based on the Hessian…? Could this mean that the error message is a bug in this case?
POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the “mode” is not positive definite!
=> posterior variance of the estimated parameters are not positive.
You should try to change the initial values of the parameters using
the estimated_params_init block, or use another optimization routine.