Hi Johannes,
I am learning how to use Dynare to do Bayesian estimation with a manually linearized symmetric twocountry model. I followed your paper and specified four observables and four observation equations accordingly. During my estimation process, I run into several problems.

With mh_replic=0, Dynare reports the “Historical and smoothed variables” for all four observables. However, only 3 of them are perfectly matched (figure attached). The last one seems to be poorly matched (the same problem arises with mh_replic>0). But there is no measurement errors specified in the model. This is the case for both version 4.4.3 and unstable version.

When using the unstable version, I also got the following warning:
Warning: Your prior allows for correlations between measurement errors larger than ±1 and will not
integrate to 1 due to truncation. Please change your prior
In initial_estimation_checks at 110
In dynare_estimation_1 at 157
In dynare_estimation at 105
In example at 547
In dynare at 223
This warning did not arise in version 4.4.3. Again, I did not specify any measurement error. Anything going wrong?

A regular “identification” command following the reference manual cannot go through. Dynare will report an error.

If I instead use the following estimation command
estimation(datafile=example_data,mh_replic=20000,mh_nblocks=5,mh_jscale=0.23244,mode_compute=0,mode_file=example_mode,mode_check,moments_varendo)
Is the following field a correct place to check the variance decomposition for an endogenous variable, say TY?
oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.Mean.TY_hat
All related model and data files are attached. Many thanks for your time! I appreciate that.
Ming
example.zip (21.2 KB)