Problem with estimation (Bayesian inference)

Estimation ML/Bayesian estimation
1

Hi!

Im having trouble im my attempt to replicate an estimation (this is my first try ever!). I get this error message:

Log data density [Laplace approximation] is NaN.

Error using chol
Matrix must be positive definite with real diagonal.

Error in posterior_sampler_initialization (line 84)
d = chol(vv);

Error in posterior_sampler (line 60)
posterior_sampler_initialization(TargetFun, xparam1, vv,
mh_bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);

Error in dynare_estimation_1 (line 465)
posterior_sampler(objective_function,posterior_sampler_options.proposal_distribution,xparam1,posterior_sampler_options,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);

Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);

Error in curdia.driver (line 327)
oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 293)
evalin(‘base’,[fname ‘.driver’]) ;

I know its a problem in the MH optimization algoritm, but i have no idea how to solve it and what is the source of the problem.

Hope someone can help me.
Thanks!

Cúrdia et. al (2014).rar (163.6 KB)

2

I would recommend starting smaller.

  1. Where does your mode-file come from? You should run mode_compute=5 or similar.
  2. Are you sure your observation equations are correct? Your observable ffr has a very different mean than the one in the model.
  3. The parameter newphix is not identified.
3

Hey, thanks for the tips. My data was not treated properly. The parameter newphix was defined for other estimation (an alternative monetary policy rule). Now its working fine.