Hi, I am trying to replicate the estimation of Baseline Model in Schmitt-Grohe & Uribe (2008) “What’s News in Business Cycle”. I tried using the posterior mean as the starting point for posterior maximation by using Chris Sim’s “csminwel”. However, the result was not desired. Most of the standard deviations were small and after obtaining the distribution, below warning message was often appeared,
Warning: Matrix is close to singular or badly scaled.
Results may be inaccurate. RCOND = 1.117895e-030.
MH: Let me try again.
And the Log data density obtained by Geweke Estimator is -Inf, the one in Schimitt-Grohe is about -2140. Before that, I also tried using mode_compute = 6 to get the mode by using default starting point. However, the estimation result was still not desire. The log data density is 591.437571 which is positive (impossible).
I attached my codes for reference. I would be appreciated with your help.
cycledat.m (12.6 KB)
cycle_steadystate.m (2.06 KB)
cycle.mod (5.85 KB)