Issues with estimation MCMC method

[jpfeifer]

1. The datafile is missing.
2. Please use a steady_state_model-block for your analytical steady state.
3. Your observable is non-mean 0 in the model, but mean 0 in the data. You need to specify a proper observation equation. See Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” .
4. See

Demean the series or not

First of all (as always): do not use the two-sided HP filter for estimating DSGE models. See Pfeifer (2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models". If you must, use the one-sided HP filter Depending on the filter you use, your data will be mean 0 (true for the one-sided and two-sided HP filter). Prefiltering in this case is not needed, because the empirical mean you subtract will be 0. Thus prefilter=1 will be harmless, but useless.