Problem with identification analysis

Dynare help (legacy posts)
1

Good afternoon,

I am trying to estimate a model with procyclical leverage in the banking sector. Whether I use mode_compute 4, 6, or 9, I get the following error message:

Error using chol
Matrix must be positive definite.

I have tried to run an identification analysis, in order to see if some parameters are not correctly identified; however, I get:

==== Identification analysis ====

Testing prior mean
Evaluating simulated moment uncertainty … please wait
Doing 492 replicas of length 300 periods.
Simulated moment uncertainty … done!
Error using .*
Matrix dimensions must agree.

Error in identification_analysis (line 225)
deltaM = deltaM.*abs(params’);

I have searched the forum but I didn’t see this issue arising a lot. Please note that my shocks are not correlated. Could someone help?
PC.zip (14.4 KB)

2

Some of the variables name you use could be in conflict with matlab standard commands, try to change names.

3

Sorry, but identification currently does not support measurement errors. The only way to do this currently is to specify the measurement error as a separate structural shock. See the discussion on measurement error specification in Pfeifer(2013): “A Guide to Specifying Observation Equations for the Estimation of DSGE Models” sites.google.com/site/pfeiferecon/Pfeifer_2013_Observation_Equations.pdf on how to do this.

4

Thanks Jpfeifer, this solved my problem.