Issues replicating Chilean Ministry of Finance Semi-Structural Multivariate Filter (FMV) for Output Gap – Hessian not positive definite

Stochastic simulations Semistructural Modeling
1

Hello everyone,

I am trying to replicate the Semi-Structural Multivariate Filter (FMV) used by the Chilean Ministry of Finance to estimate the non-mining output gap, as described in official budget and technical documents. However, I am encountering persistent issues during estimation.

Software versions

  • MATLAB: R2025a

  • Dynare: 6.5
    I have also tested Dynare 6.1 and 6.4, but the problem remains unchanged across versions.

I am attaching:

  • The .mod file

  • The data file

  • A screenshot of the error message

Any guidance or suggestions would be greatly appreciated.

image
image805×513 17.5 KB

FMV_Hacienda_2025.mod (2.5 KB)

FMV.xlsx (14.4 KB)

run.m (437 Bytes)