I am trying to find a valid mode for my model, which gives me a lot of trouble. After the Sims algorithm failed, I tried it with mode_compute=6. I got the following error message after about an hour of calculations.

[code]Initial value of the log posterior (or likelihood): -57073124.9085

# ==========================================================

Change in the posterior covariance matrix = 25.

Change in the posterior mean = 15.7842.

Mode improvement = 55085857.9789

New value of jscale = 1.5609e-17

# ==========================================================

Change in the posterior covariance matrix = 1.5531e-06.

Change in the posterior mean = 14.6895.

Mode improvement = 1171358.3304

New value of jscale = 2.2212e-06

Error using chol

Matrix must be positive definite.

Error in gmhmaxlik_core (line 194)

dd = transpose(chol(CovJump));

Error in gmhmaxlik (line 100)

[PostMode, PostVariance, Scale, PostMean] =

gmhmaxlik_core(fun, OldPostMode, bounds,

gmhmaxlikOptions, Scale, flag, MeanPar,

OldPostVariance, varargin{:});

Error in dynare_minimize_objective (line 258)

[opt_par_values, hessian_mat, Scale, fval] =

gmhmaxlik(objective_function, start_par_value, …

Error in dynare_estimation_1 (line 204)

[xparam1, fval, exitflag, hh, options_, Scale,

new_rat_hess_info] =

dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb

bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);

Error in dynare_estimation (line 105)

dynare_estimation_1(var_list,dname);

Error in main (line 706)

oo_recursive_=dynare_estimation(var_list_);

Error in dynare (line 223)

evalin(‘base’,fname) ;

Error in main_mainfile (line 32)

dynare main noclearall[/code]

I get that the Sims Algorithm can fail if the calibration is too far from the posterior mode. But with the Monte Carlo algorithm (mode_compute=6), I don’t exactly get why it breaks down. Where is the problem, or what would be the right strategy to overcome it? Thanks for helping.

I am using the unstable version “2017-01-16”, but the same problem already arised with the stable version a couple of days ago.

soe_modelCL.zip (12.5 KB)