Posterior kernel optimization problem

Dynare help (legacy posts)
1

I am doing DSGE model in Dynare for my dissertation, and I am stuck with some problems that I am trying to figure why for few days. But I still can’t fix it.

Two of my main questions are:

1.I got this:
'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 optimisation routine.’

2. In the RESULTS FROM POSTERIOR ESTIMATION section, the standard errors I got are 'NaN'
 And I don't understand why there are no standard errors.

RESULTS FROM POSTERIOR ESTIMATION

parameters
prior mean mode s.d. prior pstdev

rho_p 0.500 0.5999 NaN beta 0.2000
rho_m 0.500 0.5999 NaN beta 0.2000
rho_x 0.500 0.7781 NaN beta 0.2000

I attached the mod file and my data.

Thank you so much.
myd.zip (7.55 KB)

2

Hi Wayne,

Regarding your question 1, have you checked the previous posts in this forum? Lately people have asked a lot of questions (including myself) about the problem of finding the mode. Here are two links:

[Mode check plots look ok, but Hessian is still negative)

[Hessian computation)

Also, have you tried running different mode finders, via the mode_file=your_mode_file option? Sometimes it can take a while and running one optimiser is sometimes not enough.

Best

Rob