Dear all

I am conducting the research for the model with stochastic volatility shock as Born and Pfeifer (2014).

I am going to use the Bayesian method with particle filter (2nd order) to obtain estimated parameters. But there are some problems with the code. when I run 1st order, the code works well but it go with some problems when I run 2nd order. I attached code for this part, please give me some advice to overcome this problem.

I try to run the code in the website: linear_model.mod

With the dynare version: 4.5.4., the code does not work and the error is:

Warning: stochastic_solvers: using order = 1 because Hessian is equal to zero

In stochastic_solvers (line 58)

In resol (line 144)

In dynare_resolve (line 69)

In non_linear_dsge_likelihood (line 228)

In initial_estimation_checks (line 137)

In dynare_estimation_1 (line 165)

In dynare_estimation (line 105)

In linear_model (line 186)

In dynare (line 223)

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):

Reference to non-existent field ‘ghxx’.

Error in non_linear_dsge_likelihood (line 294)

ReducedForm.ghxx = dr.ghxx(restrict_variables_idx,:);

Error in initial_estimation_checks (line 137)

[fval,info] =

feval(objective_function,xparam1,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);

Error in dynare_estimation_1 (line 165)

oo_ =

initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)

dynare_estimation_1(var_list,dname);

Error in linear_model (line 186)

oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 223)

evalin(‘base’,fname) ;

For unstable version, the error is even worse

I greatly appreciate any suggestion.data_sub1.m (2.8 KB)

nonlinear_Calvo_PR_sub1.mod (10.5 KB)