Hi,
I am trying to run an estimation using the inversion filter for a linearized model with OccBin. However, I am encountering the problem with shock parameterization when I setting up the shock variances, even if I change their values. I would appreciate any help and suggestions.
What exactly is the issue you are facing?
Using the Inversion Filter, I think I am encountering a similar problem as in the NKM.mod file with the smoother, which I sent you in another topic
Unrecognized field name "linear_smoother".
Error in occbin.DSGE_smoother (line 140)
etahat= oo_.occbin.linear_smoother.etahat;
Error in prior_posterior_statistics_core (line 233)
occbin.DSGE_smoother(deep,gend,Y,data_index,missing_value,M_,oo_,opts_local,bayestopt_,estim_params_);
Error in prior_posterior_statistics (line 234)
[fout] = prior_posterior_statistics_core(localVars,1,B,0);
Error in dynare_estimation_1 (line 548)
oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);
Error in ModelZLB2.driver (line 855)
oo_recursive_=dynare_estimation(var_list_);
Error in dynare (line 308)
evalin('base',[fname '.driver']);
Error in runsimIF (line 43)
dynare ModelZLB2.mod noclearall;
Additionally, I tried to estimate the model with PKF, but it also gives an error during the likelihood calculation. Could you please take a look at it? I have sent it to you in a DM
Warning: Matrix is singular, close to singular or badly scaled. Results may be inaccurate. RCOND = NaN.
> In occbin.kalman_update_algo_1 (line 102)
In occbin.kalman_update_engine (line 55)
In missing_observations_kalman_filter (line 276)
In dsge_likelihood (line 639)
In initial_estimation_checks (line 207)
In dynare_estimation_1 (line 165)
In dynare_estimation (line 105)
In ModelZLB2.driver (line 858)
In dynare (line 308)
In runsimIFandPKF (line 43)
missing_observations_kalman_filter:PKF failed in period 26 with: Piecewise linear Kalman filter: updated state vector is NaN.
Error in computing likelihood for initial parameter values
ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),
ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):
Error using print_info (line 33)
Error using print_info (line 33)
Piecewise linear Kalman filter: There was a problem in obtaining the likelihood.
Thanks for reporting this. The first is a bug that should be fixed in 🐛 Enable smoother_inversion_filter option with MCMC (!2325) · Merge requests · Dynare / dynare · GitLab
The second issue we need to investigate further.
Dear @jpfeifer
Thank you very much. Regarding the first bug, can I run the code on the unstable version?
Best,
Not yet. But you can download the package created by the pipeline to the above ticket. See the screenshot:
Thank you, @jpfeifer !