Hello Dynare Community,

I’m trying to replicate the model and results in Ferroni (2011) “Trend agnostic one-step estimation of DSGE Models” that appear in the section 1 (Introduction) based in Chang, Doh, and Schorfheide (2007). Since the model includes trends in the observed variables, I include two observation equations. But I’m having problems in the estimation as this results are shown along the identification command (I include the rest of the log file as attachment):

==== Identification analysis ====

Testing prior mean

The number of moments with non-zero derivative is smaller than the number of parameters

Try increasing ar = 2

warning: division by zero

warning: called from

lyapunov_symm at line 172 column 12

getJJ at line 59 column 9

identification_analysis at line 92 column 38

dynare_identification at line 280 column 93

Ferroni_2 at line 178 column 1

dynare at line 180 column 1

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

The number of moments with non-zero derivative is smaller than the number of parameters

Try increasing ar = 3

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

warning: division by zero

The number of moments with non-zero derivative is smaller than the number of parameters

… This continues up to ar=10

up to 10 lags: check your model

Either further increase ar or reduce the list of estimated parameters

error: IDETooManyParams

error: called from:

error: c:\dynare\4.4.3\matlab\identification_analysis.m at line 102, column 13

error: c:\dynare\4.4.3\matlab\dynare_identification.m at line 280, column 93

error: C:\Users\USR_PracticanteGT42\Documents\Programacion\true_model\Ferroni_2.m at line 178, colu

mn 1

error: c:\dynare\4.4.3\matlab\dynare.m at line 180, column 1

I tried writing the log-linearized model in Dynare, but the same problem and the same errors appear.

What could be the source of this? How can I solve it?

Thanks for your help!

PS: I couldn’t upload the .xlsx file, please check my code and later I’ll upload the file with observed variables

Ferroni_no_linearlog.txt (3.88 KB)

Ferroni_linearlog.txt (5.12 KB)

Ferroni_linear.mod (1.25 KB)

Ferroni_no_linear.mod (1.48 KB)