Mode_check plots look bad

Dear all,

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 :

  1. 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.

  2. 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

Best regards,

Côme

It seems you are stuck at a corner solution due to SE_eps_INF. Did you already set prior_trunc=0.

Professor,

No I didn’t ! I try to change prior_trunc and I will tell you if it works ! Thank you very much !

Dear Professor,

I used prior_trunc = 0 and now it looks like this. The standard errors look much better (except for se_eps_global) but the other paramers look bad. I got error code : 3 and error code : 19 for some values, but my problem is still that my Hessian isn’t positive definite at the mode… Is it always a problem in the model ? Thank you very much




Best regards,

Côme

How they all look rather fine. Further debugging without reference to the codes is impossible.

Thank you very much Professor. If you say they look pretty fine, I will check for the Hessian matrix myself.

Best regards,

Côme

The mode is at the peaks except for rho_tra. Which mode_compute did you use?

Professor,

I used the standard mode (mode_compute = 4).

Try mode_compute=5.