Dear all,

I am trying to estimate a log-linearized small open economy model using the following data:

- real domestic output (quarterly data, I log the data, then substracted the HP filtered data)
- domestic inflation (monthly data, I log the data, then get the mean of the log(data), then get pi_c_obs = log(inflation) - mean(log(inflation))
- real exports (monthly data , I log the data, then substracted the HP filtered data)
- real imports (monthly data , I log the data, then substracted the HP filtered data)
- terms of trade (delta_obs) (monthly data, I log the data, then substracted the HP filtered data)
- real foreign output (quarterly data , I log the data, then substracted the HP filtered data)

I also use measurement errors. I get weird mode_check plots where many parameters have flat lines. I tried to change many times the priors but I still end up stuck with bad mode_check plots. Ones of the best I got are attached.

Here is the message I got from using the identification command (saying that most of my parameters arenāt identified. I tried many different priors and dont know what to do now.):

======== Identification Analysis ========

Testing prior mean

Evaluating simulated moment uncertainty ā¦ please wait

Doing 102 replicas of length 300 periods.

Simulated moment uncertainty ā¦ done!

Note that differences in the criteria could be due to numerical settings,

numerical errors or the method used to find problematic parameter sets.

Settings:

Derivation mode for Jacobians: Analytic using sylvester equations

Method to find problematic parameters: Nullspace and multicorrelation coefficients

Normalize Jacobians: Yes

Tolerance level for rank computations: robust

Tolerance level for selecting nonzero columns: 1e-08

Tolerance level for selecting nonzero singular values: 1e-03

REDUCED-FORM:

!!!WARNING!!!

The rank of Tau (Jacobian of steady state and reduced-form solution matrices) is deficient by 4 (rank(Tau) = 6 < 10 with tol = robust)!

```
s_igma is not identified!
eta is not identified!
a is not identified!
theta is not identified!
```

MINIMAL SYSTEM (KOMUNJER AND NG, 2011):

!!!WARNING!!!

The rank of Deltabar (Jacobian of steady state and minimal system) is deficient by 4 (rank(Deltabar) = 51 < 55 with tol = robust)!

```
s_igma is not identified!
eta is not identified!
a is not identified!
theta is not identified!
```

SPECTRUM (QU AND TKACHENKO, 2012):

!!!WARNING!!!

The rank of Gbar (Jacobian of mean and spectrum) is deficient by 4 (rank(Gbar) = 6 < 10 with tol = robust)!

```
s_igma is not identified!
eta is not identified!
a is not identified!
theta is not identified!
```

MOMENTS (ISKREV, 2010):

!!!WARNING!!!

The rank of J (Jacobian of first two moments) is deficient by 8 (rank(J) = 2 < 10 with tol = robust)!

```
SE_eps_y_ME is not identified!
SE_eps_pi_ME is not identified!
SE_eps_tot_ME is not identified!
SE_eps_ystar_ME is not identified!
s_igma is not identified!
eta is not identified!
a is not identified!
theta is not identified!
```

==== Identification analysis completed ====

Can anyone help me ? Thanks a lot.

SOEMData.xlsx (94.1 KB)

Model.mod (3.6 KB)

Model_steadystate.m (12.5 KB)

ModeCheck1.pdf (6.6 KB) ModeCheck2.pdf (2.3 KB)