Identification Analysis Error

Dynare help (legacy posts)
1

Dear all,

I am estimating the standard deviations of two structural shocks and their correlation in a simple RBC model.
I am running identification analysis tests via the command

identification;

and am getting two error messages.

  1. When I run the .mod file and apply the identification test on the standard deviations only or on all paramaters
    here is the error message that I get

[code]Error using ./
Matrix dimensions must agree.

Error in identification_analysis (line 222)
ide_strength_J_prior(indok) = (1./(normaliz(indok)’./normaliz1(indok)’));

Error in dynare_identification (line 280)
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = …

Error in rbc_estim (line 219)
dynare_identification(options_ident);

Error in dynare (line 180)
evalin(‘base’,fname) ;[/code]

  1. If I run the identification test on the correlation between structural shocks only the reported error
    message is

[code]Error using .*
Matrix dimensions must agree.

Error in identification_analysis (line 224)
deltaM_prior = deltaM.*abs(normaliz1’);

Error in dynare_identification (line 280)
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = …

Error in rbc_estim (line 218)
dynare_identification(options_ident);

Error in dynare (line 180)
evalin(‘base’,fname) ;[/code]

The identification test works fine if it is applied to parameters not estimated via one of Dynares built-in
functions (as, in this case, stderr or corr). Help on the issue is greatly appreciated. I attach my .mod file.

Many thanks in advance,
Francis
rbc_estim.mod (2.18 KB)

2

Please see [Identification command when correlation coef. is estimated)

3

Thank you Mr. Pfeifer.

Could not find any forum threads concerning the first error which appears when including standard deviations. As far as I know the identification command should work for those.

Many thanks again!

4

It does not work for measurement errors. Standard errors should work. Please provide the file to replicate the issue.

5

It is the file I attached above with the correlation commented out from the
estimation parameters. I attach the orginal file again with this modification.

Thanks!
rbc_iden.mod (2.18 KB)

6

This is a bug. Thanks for pointing it out. It comes from only testing the identification of exogenous variables’ standard deviations. If you add

sigma , 1,0, 5;
to the estimated_params-block, it works.

7

Good to know! Many thanks for your kind feedback.

Best,
Francis