Dear all, I have a DSGE model in which the parameters are all calibrated. The model ends by stochastic simulation instead of estimation. This model is able to run successfully. However, when I try to modify the model in to estimate some parameters instead of calibrating them, the modified model can’t work. The error messages are as follows.
Error using initial_estimation_checks (line 153)
initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.
Error in initial_estimation_checks (line 153)
error(‘initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.’)
Error in dynare_estimation_1 (line 164)
oo_ = initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);
Error in dynare_estimation (line 105)
Error in estimate_phi.driver (line 395)
Error in dynare (line 293)
evalin(‘base’,[fname ‘.driver’]) ;
Could you help me solve the problem? Thanks!