I was trying to implement identification analysis for Christiano, Motto, Rostagno paper, Risk shock. But there is a mistake using svd matlab function.
I consider only simplified version of the paper, without financial frictions. There are no measurement equations in this case. I tried to use different data set, but I still have the same error:
[quote]Testing prior mean
Evaluating simulated moment uncertainty … please wait
Doing 300 replicas of length 300 periods.
Simulated moment uncertainty … done!
??? Error using ==> svd
Input to SVD must not contain NaN or Inf.
Error in ==> rank at 15
s = svd(A);
Error in ==> identification_analysis at 200
if iflag || rank(MIM)>rank(tildaM),
Error in ==> dynare_identification at 280
[idehess_point, idemoments_point, idemodel_point, idelre_point,
derivatives_info_point, info] = …
Error in ==> cmr at 677
dynare_identification(options_ident);
Error in ==> dynare at 180
evalin(‘base’,fname) ;[/quote]
What could possibly trigger this problem?
I would be very grateful if you could help me to solve this mystery.
Identification cannot deal with a singular Jacobian that is not due to the presence of a unit root.
Model_diagnostics points to the following issue:
[code]MODEL_DIAGNOSTICS: The Jacobian of the static model is singular
MODEL_DIAGNOSTICS: there is 1 colinear relationships between the variables and the equations
Colinear variables:
c
Fp
Fw
g
h
i
kbar
lambdaz
phi
Colinear equations
35
MODEL_DIAGNOSTICS: The presence of a singularity problem typically indicates that there is one
MODEL_DIAGNOSTICS: redundant equation entered in the model block, while another non-redundant equation
MODEL_DIAGNOSTICS: is missing. The problem often derives from Walras Law.[/code]
Even in the presence of collinearity, a model sometimes runs. But identification can currently not deal with this.
The model itself is really big and I am not that familiar with it. Given the size of the model, I would not be surprised if there were issues with the code. But the authors are known to work extremely diligently and know what they are doing. Hence, I would rather believe that there is a good explanation for this. Maybe you could ask them why there is a collinearity issue.