I’m estimating a model with Dynare and when I use mode_check plot, I see that the graphs look very bad. Here are the problems I’m facing :
The log density is Nan (the Hessian matrix isn’t definite positive). Thus, I can only use mode_compute = 6 but I know that this often means there are underlying problems in the model or in the data.
The plots are very bad, if I’m right, because they don’t coincide on the maximum of the curves. Note that the vertical line is often at the prior mode (0.75 for RHOs and 0.9 for SIGMAs). I don’t understand what it means.
To my understanding, the error comes from my model. However, I managed to get some correct results in the past. What is the most common problem when the mode_check plots are this bad ? Is it necessary that the vertical line hits the maximum ? What is the main issue with hessian matrix not positive definite ?
Thank you very much for your help, I sincerely hope I don’t bother you