Hi all,

I am estimating the SW model with no missing observations using the mod and data mat files provided in Johannes’ GitHub.

This is what is generated:

dynare_estimation_init: There are missing observations in the data.

dynare_estimation_init: I am computing the moments for the endogenous prior only

dynare_estimation_init: on the observations after the last missing one, i.e. 1.

Could you help to confirm if that is a bug?\Best,

Jonathan

Dear Jonathan,

I cannot reproduce that message. How exactly did you obtain it?

Best,

Johannes

Dear Johannes,

thank you for your reactivity. I thought it was a known issue that is why I did not provided information.

I am using the public replication files of my paper “Central Bank Losses and Monetary Policy Rules: A DSGE Investigation” (International Review of Economics and Finance, Elsevier, Volume 61, Issue 1, Pages 289-303, May 2019) available here: http://www.jonathanbenchimol.com/data/research/codes/IREF2019.zip

When I wrote the paper and used Dynare 4.4.3, here is what I obtained from the very beginning:

Starting Dynare (version 4.4.3).

Starting preprocessing of the model file …

Found 48 equation(s).

Evaluating expressions…done

Computing static model derivatives:

- order 1

Computing dynamic model derivatives:
- order 1

Processing outputs …done

Preprocessing completed.

Starting MATLAB/Octave computing.

Loading 248 observations from usdata0.xlsx

However, when I use the same mod and data files with Dynare 5.4, here is what I obtain:

Starting Dynare (version 5.4).

Calling Dynare with arguments: console

Starting preprocessing of the model file …

Found 48 equation(s).

Evaluating expressions…done

Computing static model derivatives (order 1).

Computing dynamic model derivatives (order 1).

Processing outputs …

done

Preprocessing completed.

dynare_estimation_init: There are missing observations in the data.

dynare_estimation_init: I am computing the moments for the endogenous prior only

dynare_estimation_init: on the observations after the last missing one, i.e. 1.

Thanks a lot for your help.

Best,

Jonathan

Is there a particular file I need to execute in the package?

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Any mod file with any data file (the mod file calls usdata0.xlsx but you can change, this does not change this phenomenon).

I also tried to convert these xls datafiles into mat files, same result.

Is this a Dynare bug or mode file typo?

Sorry for the delay. I can confirm this is a bug: endogenous prior: fix logic of missing observations check (!2153) · Merge requests · Dynare / dynare · GitLab

Note that it only affects the display of a warning message. Everything is computed as before.

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Thank you very much Johannes