@jpfeifer it run for 12 hours and gave results on estimation, also:
dynare_estimation_init: the inversion filter does not support filter_step_ahead. Disabling the option.
dynare_estimation_init: the inversion filter does not support smoothed_state_uncertainty. Disabling the option.
initial_estimation_checks:: The IVF requires exactly as many shocks as observables.
initial_estimation_checks:: The data series inom contains NaN, I am therefore dropping shock epsi for these time points.
Initial value of the log posterior (or likelihood): 1572.0681
and also an error with posterior statistics:
Occbin smoother iteration 1.
occbin.DSGE_smoother: smoother converged.
Index in position 1 exceeds array bounds. Index must not exceed 1.
Error in prior_posterior_statistics_core (line 296)
stock_filter_step_ahead(:,dr.order_var,:,irun(4)) = aK(options_.filter_step_ahead,1:endo_nbr,:) + constant_part;
Error in prior_posterior_statistics (line 234)
[fout] = prior_posterior_statistics_core(localVars,1,B,0);
Error in dynare_estimation_1 (line 548)
oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
Error in dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);
Error in NKM.driver (line 942)
oo_recursive_=dynare_estimation(var_list_);
Error in dynare (line 308)
evalin('base',[fname '.driver']);
I used the command
// -----------------Occbin ----------------------------------------------//
options_.occbin.smoother.debug=1;
// use inversion filter (note that IF provides smoother together with likelihood)
occbin_setup(likelihood_inversion_filter,smoother_inversion_filter);
estimation(
datafile=dataobsfile2, mode_compute=6, cova_compute=1, nobs=120, first_obs=1,
mh_replic=50000, plot_priors=0, smoother,
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1:8],smoothed_state_uncertainty);
Is it related to filter_step_ahead=[1:8], smoothed_state_uncertainty commands? and should I just ignore the error?