Dear Prof. Johannes Pfeifer,
I am just repeating the estimation code of Iacoviello(2015, RED). I only replace the data of Iacoviello’s, and the code does not work. It reported that:
(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.
I don’t know how to set the initial values of the parameters, could you help me to check it and tell me how to solve it?