I recently encountered the following two problems during estimation. The related files are attached, which include Question1 and Question2. I am using Dynare Unstable version 2014-10-11. Hopefully I could get some hints from you who have had similar experiences.
- For Question1, I am actually trying to replicate Lubik and Schorfheide (2004 AER). The model is the simplest three-equation New Keynesian model. Once I finish estimation and trigger identification, I always get the following error message. Note, in Lubik and Schorfheide (2004), there is a correlation between structural shocks to be estimated. I found that when I comment out the line for this correlation in the estimated_params block, the following error disappeared. The only possible reason for the error is that there is no declaration for the parameter of correlation in the parameters block. But this totally follows the manual and user guide for the treatment of the correlation term. When I do estimation instead of identification analysis, there is no error at all. I don’t know if there is an internal bug here in the identification package or some other errors in my mod file?
Error using .*
Matrix dimensions must agree.
Error in identification_analysis (line 226)
deltaM = deltaM.*abs(params’);
Error in dynare_identification (line 271)
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = …
Error in Question1_3obs (line 202)
Error in dynare (line 185)
- For Question2, when I finish estimation, I discovered that in the oo_.FilteredVariables, I only have “Mean, Median, Var, deciles, HPDinf, HPDsup”. In other cases I have tried for other models, such as Question1 (please comment out the command for identification and then try it), in oo_.FilteredVariables, besides “Mean, Median, Var, deciles, HPDinf, HPDsup”, I also get the filtered values for each individual variable. Suppose I have 100 observations, then in the filtered values for each individual variable, I get a vector of size 1011 with the first value equal to 0. In “Mean, Median, Var, deciles, HPDinf, HPDsup”, the filtered values are all vectors of size 1001. I know the values in “Mean, Median, Var, deciles, HPDinf, HPDsup” should be based on the MCMC results. I am wondering what are the values for each individual variable besides “Mean, Median, Var, deciles, HPDinf, HPDsup”? Are they the filtered variables based on the mean of the posterior? Why don’t I get individual filtered variables when I run Question2.mod? The only obvious differences between Question 1 and Question 2 are that (1) I use an external file for steady state and (2) I use mode_file option in Question 2. But I tried not use them and found that the problem still existed. I am wondering if there is a bug here or some errors in my code?
Thanks very much in advance!
Questions to Dynare.rar (42.2 KB)