Metropolies Hastings Algorithm

Dynare help (legacy posts)
1

Dear All,

I am running Smets Wouters2003. However, I am facing a problem on Metropolis Hasting Algorithm and don’t know how to solve it. would you please send me some recommendation.

Regards
Helal
StatEU.xls (326 KB)
SmetsWouters2003.mod (7.39 KB)

2

You should give more details about the problem that you encounter, so people can decide if they know how to help you without having to run your example.

Best

Michel

3

Dear Michel,

Thanks for your comments. Following are the problems I am facing in executing this model

Warning: File ‘SmetsWouters2003/Output’ not found.

In CheckPath at 42
In dynare_estimation_1 at 665
In dynare_estimation at 62
In SmetsWouters2003 at 330
In dynare at 120
Warning: File ‘SmetsWouters2003/metropolis’ not found.
In CheckPath at 42
In metropolis_hastings_initialization at 46
In random_walk_metropolis_hastings at 58
In dynare_estimation_1 at 871
In dynare_estimation at 62
In SmetsWouters2003 at 330
In dynare at 120
??? Error using ==> chol
Matrix must be positive definite.

Error in ==> metropolis_hastings_initialization at 52
d = chol(vv);

Error in ==> random_walk_metropolis_hastings at 58
ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck,
nruns, NewFile, MAX_nruns, d ] = …

Error in ==> dynare_estimation_1 at 871
feval(options_.posterior_sampling_method,‘DsgeLikelihood’,options_.proposal_distribution,xparam1,invhess,bounds,gend,data,…

Error in ==> dynare_estimation at 62
dynare_estimation_1(var_list,varargin{:});

Error in ==> SmetsWouters2003 at 330
dynare_estimation(var_list_);

Error in ==> dynare at 120
evalin(‘base’,fname) ;

4

perhaps the optimization algorithm did not find a well behaved hessian for the covariance matrix? look at the the mode_check figures. do you see the posterior is badly behaved in the neighbourhood of the mode?

reuben