I have been using the identification command in the unstable 4.3 version of Dynare (most recently 2011-10-04, but the output for identification seems stable across the various unstable updates I have tried). I am confused that my model is reported as being identified:

==== Identification analysis ====

Testing prior mean

Evaluting simulated moment uncertainty … please wait

Doing 483 replicas of length 300 periods.

Simulated moment uncertainty … done!

All parameters are identified in the model (rank of H).

All parameters are identified by J moments (rank of J)

but that the subsequent report about the colinearity patterns seems to clearly show that this cannot be the case. Here is the output for 1 parameter (which I understand to be the correlations between the columns of J):

Press ENTER to display advanced diagnostics

Collinearity patterns with 1 parameter(s)

Parameter Expl. params ] cosn

e eah ] 0.994

ealp rxss ] 1.000

eeta cp ] 0.999

eah rho_ah ] 1.000

ep phistar ] 0.992

efups rho_ah ] 0.991

efinflf a122 ] 1.000

efi a133 ] 1.000

einv rho_inv ] 1.000

eg ealp ] 0.989

e_l philab ] 0.992

d alpss ] 0.997

del cp ] 1.000

phistar eah ] 0.999

rho_phi d ] 0.982

alpss gam ] 1.000

rho_alp einv ] 0.844

etass g0 ] 0.914

rho_eta cp ] 0.999

rho_ah eah ] 1.000

thep a111 ] 0.898

cp del ] 1.000

rho_inv einv ] 1.000

cpf a133 ] 0.999

rxss gam ] 1.000

usta rho_ah ] 0.076

pif rxss ] 0.078

rho_g rxss ] 1.000

g0 etass ] 0.914

philab e_l ] 0.992

a111 cp ] 0.995

a122 efinflf ] 1.000

a133 efi ] 1.000

gam rxss ] 1.000

I see many pairs of parameters with (near?) perfect colinearity. This surely implies that the matrix J is not of full column rank? When I look at the smallest eigenvalues they are also suspect. The smallest one is 2.65e-7, which looks alot like zero to me. [The largest eigenvalue is 2756.]

Can I trust the output from identification? Or perhaps I do not understand something, and there is no inconsistency. I suppose the collinearities of 1.000 above are not perfect collinearties, but rounded values, but still…

I also have another related question: in Dynare 4.1.3 there were box and whisker plots for these collinearities. But in 4.3 unstable I don’t know what the value is that is being reported. Is it the mean of the box and whisker plot, or the maximum value, or some other value? Or is it not based on the Monte Carlo sample, but based on the prior means of the parameters?

Any help would be greatly appreciated.

Thank you.

Sincerely,

Rob Luginbuhl