Hi, I’m receiving this warning in Dynare 4.2.1:
MH: I’m computing the posterior mean and covariance… Warning: Matrix is close to singular or badly scaled.
Results may be inaccurate. RCOND = 9.491241e-17.
In compute_mh_covariance_matrix at 74
In marginal_density at 50
In dynare_estimation_1 at 889
In dynare_estimation at 62
In soe at 394
In dynare at 132
And also:
MH: The support of the weighting density function is not large enough…
MH: I increase the variance of this distribution.
…
MH: There’s probably a problem with the modified harmonic mean estimator.
Can somebody please explain what this means and what I can do about it?