Problems in Bayesian Estimation

Dear Prof.

During Bayesian estimation, I can get the postior modes, but still with the following problems:

(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.


Log data density [Laplace approximation] is NaN.

Dynare could proceed to report IRFs and other results. But except mode, it doesn’t give me postior standard deviations of parameters. For example:

prior mean mode s.d. prior pstdev
omega 2.000 0.9196 NaN gamm 2.0000

I tried the following method to find the problem, but failed.

  1. model_diagnostics detected no problems.
  2. mode_check seems fine. There are only two big red dots for one parameter.
  3. prior simulate detected no problems

Prior mass = 1
BK indeterminacy share = 0
BK unstability share = 0
BK singularity share = 0
Complex jacobian share = 0
mjdgges crash share = 0
Steady state problem share = 0
Complex steady state share = 0
Analytical steady state problem share = 0

  1. Besides, I’m concerned about the problem of data. I used differences of logs of data to match variables in model. I also introduced trends of fill the gaps between the steady states of model and data.

Here are mode_check plots

It there any other method to fix my problem?
I attach my mod file and data in the following. Thanks!

When using mode_compute=5 it worked on my machine.