I got the resut below, who can tell me how to deal with it:
POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the “mode” is not positive definite!
=> posterior variance of the estimated parameters are not positive.
You should try to change the initial values of the parameters using
the estimated_params_init block, or use another optimization routine.
Warning: The results below are most likely wrong!
In dynare_estimation_1 at 436
In dynare_estimation at 62
In gi at 643
In dynare at 132
Warning: Matrix is singular to working precision.
In dynare_estimation_1 at 450
In dynare_estimation at 62
In gi at 643
In dynare at 132
RESULTS FROM POSTERIOR MAXIMIZATION
parameters
prior mean mode s.d. t-stat prior pstdev
gamma 0.870 0.8700 Inf 0.0000 gamm 0.5000
kappa 1.100 1.1000 Inf 0.0000 gamm 0.5000
h 0.700 0.7000 Inf 0.0000 beta 0.2000
s 5.000 5.0000 Inf 0.0000 gamm 0.2500
delta_2 0.700 0.7000 Inf 0.0000 gamm 0.5000
rho_b 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_l 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_a 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_i 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_z 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_tl 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_tk 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_tc 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_g 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_d 0.500 0.5000 Inf 0.0000 beta 0.2000
rho_A 0.500 0.5000 Inf 0.0000 beta 0.2000
sigma_b 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_l 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_a 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_i 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_z 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_tl 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_tk 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_tc 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_g 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_d 1.000 1.0000 Inf 0.0000 invg 4.0000
sigma_A 1.000 1.0000 Inf 0.0000 invg 4.0000
phi_z 0.200 0.2000 Inf 0.0000 gamm 0.1000
phi_tk 1.000 1.0000 Inf 0.0000 gamm 0.3000
phi_tl 0.500 0.5000 Inf 0.0000 gamm 0.2500
phi_g 0.070 0.0700 Inf 0.0000 gamm 0.3000
phi_kl 0.250 0.2500 Inf 0.0000 norm 0.1000
phi_kc 0.050 0.0500 Inf 0.0000 norm 0.1000
phi_lc 0.050 0.0500 Inf 0.0000 norm 0.1000
phi_d 0.050 0.0500 Inf 0.0000 norm 0.1000
gamma_z 0.150 0.1500 Inf 0.0000 gamm 0.2000
gamma_tk 0.150 0.1500 Inf 0.0000 gamm 0.2000
gamma_tl 0.150 0.1500 Inf 0.0000 gamm 0.2000
gamma_g 0.150 0.1500 Inf 0.0000 gamm 0.2000
gamma_d 0.150 0.1500 Inf 0.0000 gamm 0.2000
Log data density [Laplace approximation] is NaN.
MH: Multiple chains mode.
MH: Old _mh files successfully erased!
MH: Searching for initial values…
MH: I couldn’t get a valid initial value in 100 trials.
MH: You should Reduce mh_init_scale…
MH: Parameter mh_init_scale is equal to 0.400000.
MH: Enter a new value…
gidat_simul.m (4.83 KB)
gi.m (25 KB)