"Log data density is -Inf" and Dynare version


I have a model that I estimate well under Dynare 4.4.3 with intuitive posterior means and, most importantly, a definite posterior log data density. When I estimate exactly the same mod file, with the same data, with Dynare 4.5.0 to 4.6.4, I always obtain “Log data density is -Inf” while the estimated parameters and other results are roughly similar.

I read the major user-visible changes from the Release of Dynare 4.5.0 email (2017), but I cannot understand what provokes such a difference.

  1. Does the Dynare team aware of this issue? Can I rely on Dynare 4.4.3 ?

  2. Is there a way to retrieve a definite calculation of the posterior log data density with the last Dynare version?

  3. May I use the last Dynare version (which is assumed to be more robust than the previous ones, right?) and use the log data density (Laplace approx, before MCMC-MH, which is definite) instead of the posterior log data density?

Thank you in advance for your help.

Thanks to all the Dynare team, you are doing a fantastic job!



Can you provide an example code?

Unfortunately not :frowning:
From your experience, did you hear about such an issue? Would you recommend relying on the estimation results of Dynare 4.4.3?

I think the other questions are also general enough not to require the model/mod file. What do you think?

Let’s try it generically.

  1. Having the Modified Harmonic Mean log data density estimator not work usually means something in the MCMC went wrong, e.g. one parameter getting stuck. A first step would be to compare the mode_check-plots and the trace_plot across the two versions.
  2. Regarding Laplace vs. Modified Harmonic Mean, seehttps://forum.dynare.org/t/the-log-marginal-data-density-in-mode-computer-6/4898/2