problem with Gertler&Karadi 2011 model with bayesian estimation for the euro area

Estimation ML/Bayesian estimation
1

Hi, for my thesis I’m writing the code for the model by Gertler and Karadi related to the paper “A model of unconventional monetary policy (2011)”. I also have to make the Bayesian estimation on the euro area data. Can you tell me how to enter the steady state equations in a non-log linearized model with also the initval block for bayesian estimation? Because I know that the way I put them in is incorrect as it does not give me the right IRFs. Thank you for your help
gk2607.mod (11.3 KB)

2

You should not have auxiliary parameters for the steady state values but rather directly have the computations in a steady_state_model block.

3

Thanks a lot for your reply. I modified the model by adding the steady_state_model block. Unfortunately, however, by doing this I obtain NaN in the residuals. What could it be due to? Could there be a problem in the steady state equations? Auxiliary parameters for the steady state values also appear in the model equations, how should I rewrite them without using this auxiliary parameters?
gktest.mod (11.1 KB)

4

If you need auxiliary parameters, set them in the steady state file. However, some parameters can be endogenously determined by using the steady_state operator.