Question about bayesian estimation


#1

Dear all,
I would like to ask several problems about bayesian estimation . The first problem is whether Bayesian estimation is sensitive to the value of parameters. Because a certain value of parameter, bayesian estimation can be carried out. However, if we change a little of value of parameter, Bayesian estimation can not be carried out. and it shows ‘ Matrix must be positive definite. ’.
The second problem is about the data of bayesian estimation. For example,I have data on output and investment. When I was brought it into the model separately,the model can run. But when I use both of them at the same time, it also shows ‘ Matrix must be positive definite. ’.
I don’t understand why this happens. Is that normal? I hope I clarify my question,can anyone answer my doubts? Thank you.


#2

For example,in lowrisk.mod, Reciprocal elasticity of labor supply elasticity gamma equal to 0.4, lowrisk.mod can be able to run , however when gamma equal to 0.5, lowrisk.mod cannot be able to run.
I am really puzzled. Is this a common problem?Or is there any problem with my model?
data.xls (33 KB)
lowrisk.mod (5.7 KB)


#3

You are not handling parameter dependence correctly. Search the forum on this issue.


#4

jpfeifer, I have searched for the forum and looked ‘A Guide to Specifying Observation Equations for the Estimation of DSGE Models’. I change model-local variable using the #-operator in the model-block.

But it showed ‘ERROR: lowrisk.mod: line 130, cols 1-18: r_ss has wrong type or was already used on the right-hand side. You cannot use it on the left-hand side of a pound (’#’) expression’.

Did I make a mistake in some place? What am I missing?
data.xls (33 KB)
lowrisk.mod (5.9 KB)


#5

If something is a model-local variable, you cannot define it as a parameter.


#6

jpfeifer, Thank you very much. The problem was solved.

I want to ask another question about the using data of bayesian estimation. If I use different data in the same model ,for example, using output data at a time, using output, investment and interest data at another time. Is there any possibility of great difference for impulse response diagram and variance decomposition ?


#7

Yes, what you match does matter. See e.g.
https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.1106