Problem with occbin estimation: Piecewise linear Kalman filter: There was a problem in obtaining the likelihood.

Dear Dynare community,

I am experiencing a problem with OccBin estimation. I estimate a small model with an occasionally binding ELB constraint. I use piecewise Kalman filter. When I run the estimation routine, I get the following error message:

Error in computing likelihood for initial parameter values

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),
ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

Error using print_info
Error using print_info
Piecewise linear Kalman filter: There was a problem in obtaining the likelihood.

Error in initial_estimation_checks (line 291)
print_info(info, DynareOptions.noprint, DynareOptions)

Error in dynare_estimation_1 (line 159)
oo_ = initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 118)

Error in MSZ_nooccbin.driver (line 746)

Error in dynare (line 281)
evalin(‘base’,[fname ‘.driver’]);

However, when I try to estimate the same model without Occbin, everything works fine. I am on Dynare 5.5, Matlab 2023b running natively on Apple Silicon (Sonoma 14.0). The contents of the mod file are sensitive – I can share them privately.

Most likely, it is not a stochastic singularity problem, as I have more shocks than observables. I also think that I handle parameter dependence correctly, so it should not be an issue.

Thank you for your help!

Getting an estimation to run with the PKF can be tricky. I would need to see the files.

1 Like

Dear Johannes
Thank you for your reply. I have sent you an email with the relevant files.

If you set


you will get the error message

missing_observations_kalman_filter:PKF failed with: Occbin: Simulation did not converge, increase maxit or check_ahead_periods.

This happens in period 244.