Hello. I am trying to estimate a DSGE model using ML, but I am getting the following error:
"POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the “mode” is not positive definite!
=> posterior variance of the estimated parameters are not positive.
You should try to change the initial values of the parameters using
the estimated_params_init block, or use another optimization routine.
Warning: The results below are most likely wrong!
In dynare_estimation_1 (line 694)
In dynare_estimation (line 89)
In estim (line 424)
In dynare (line 188)"
I started with a model completely calibrated, so I started to estimate some parameters. Only when I estimate with too many parameters, I get the “warning” above.
I tried to change the initial values and also to change the mode_compute to 6, but the error persists.
My model is based on “Bhattarai, Saroj, Jae Won Lee, and Woong Yong Park. “Policy regimes, policy shifts, and US business cycles.” (2012).”