Hi everyone! I’m currently working on estimating the natural real interest rate for Nicaragua. I am using the Laubach and Williams (2003) model as a starting point. In order to avoid the “pileup” problem I am performing a bayesian estimation. Also, the model contains a unit root, so I use the diffuse_filter option of the estimation command.
Now I am conducting a diagnostic over the estimation, but I have run over 3 issues.
 The posterior looks like the prior for some parameters, so i tried to run the
identification
command afterestimation
, resulting in the following error:
Error using identification_analysis (line 152)
There are NaN in the dMOMENTS matrix. Please check whether your model has units roots and you forgot
to set diffuse_filter=1.
I am confused since I am already using the diffuse filter option. what am i doing wrong?

The convergence diagnostic over some parameters indicates that the MCMC is not convergent, but the multivariate convergence diagnostics indicates convergence. Am I misunderstanding the outputs?

I am trying to check the autocorrelation function over two shocks, but the
mh_autocorrelation_function
command does not generate any output. Given that the individual convergence diagnostics indicate that the MCMC is nonconvergent, i would like to adress if this is due to inneficiency in the draws caused by a high AC of the shocks.
I attach both the data and the mod file.
I am using Dynare version 4.6.1.
Thanks in advance.
BD.xlsx (19.0 KB)
LW_NIC.mod (5.2 KB)