Dear all,

I’m trying to esitmate a rather large DSGE and I’ve came across several issues.

Attached I have 2 mod files. The first one, steady_modelV2, tries to estimate the model using standard RWMH, but there are many problems computing the mode. I’ve gone through all options for mode_compute, and the best solution I could find was mode_compute=6, but the results for convergence of the model, the convergence diagnostics for the parameters, show there are problems.

The rest of the options tell me that the hessian is not invertible.

In the second one, steady_modelV3, I try using HSSMC. I read in the book by Herbst and Schorfeide that there might be instances in which the posterior is not well behaved, and computing the mode might not be doable. The estimation works rather fine, I think, in this case, but the shock processes for theta and z are estimated at unit roots, and I don’t really know how to fix this.

In both cases I ran the identification command, and all criteria tell me that all parameters are identified. Also, I think I’m correctly dealing with parameter dependence, but the issues might arise because I’m not. Don’t know how to check this.

Thanks!

data_useV2.mat (6.9 KB)

steady_modelV2.mod (14.8 KB)

steady_modelV3.mod (14.3 KB)

data_useV3.mat (6.9 KB)