I’m trying to familiarise myself with estimating Unobserved Component models with Dynare. As an exercise I am trying to simulate and estimate simple models that would normally be used for output gap estimation. Below are 2 sample model blocks for models V1 and V2 respectively. V2 is a standard local linear trend (eg see Harvey and Jaeger 1993)

// 1. Model equations V1

Y = T + eps_1;

T = T(-1) + eps_2;

end;

// 1. Model equations V2

Y = T + eps_1;

T = T(-1) + 1*d(-1) + eps_2;

d = d(-1) + eps_3;

end;

The simulation all works fine. For estimation however, when I go from model V1 to model V2, the parameters (eps_1, eps_2 and eps_3) are successfully estimated, but I get the below error (note that this occurs on the last line of dynare.m).

Any thoughts what could be causing the problem after such a simple change to the model? Note also that if I change the coeffient on d(-1) in the T equation to 0.5 the error is no longer displayed.

Many thanks,

Dynaresaur

“Error using +

Matrix dimensions must agree.

Error in missing_DiffuseKalmanSmootherH1_Z (line 128)

a(:,:,t+1) = T*(a(:,:,t)+Kstar(:,:,t)*v(:,t));

Error in DsgeSmoother (line 164)

[alphahat,epsilonhat,etahat,ahat,P,aK,PK,decomp] = missing_DiffuseKalmanSmootherH1_Z(ST, …

Error in dynare_estimation_1 (line 920)

[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp] =

DsgeSmoother(xparam1,dataset_.info.ntobs,dataset_.data,dataset_.missing.aindex,dataset_.missing.state);

Error in dynare_estimation (line 70)

dynare_estimation_1(var_list,dname);

Error in UC_HP_filter_replic_v15a (line 116)

dynare_estimation(var_list_);

Error in dynare (line 120)

evalin(‘base’,fname) ;”