I am trying to estimate the New Keynesian model in Clarida, Gali, and Gertler (1999) with a ZLB on US data. The model file I am running consistently gives an error in computing the likelihood for initial parameter values, no matter how I specify the OccBin setup. I think my issue is in the model itself, but I cannot seem to find it. Can someone please point me in the right direction for how to solve this? My model file and data are attached. Thanks! cgg_data_zlb2.mat (5.2 KB)
shockssequence = randn(100,1);
shocks(surprise,overwrite);
var eps_eta;
periods 1:100;
values (shockssequence);
end;
I get the same error message. I believe there’s a problem with the way I’ve specified the model or its interaction with OccBin, rather than an issue with the estimation. Any help is very appreciated, thanks!
That does not look to bad. And what happens if you estimate the model only on a few periods of data, i.e. is it a general problem or one of the specific observations you are feeding in.
I’m not quite sure. The model began converging when I switched to the inversion filter. When I run the model on the attached data (beginning at observation 191), it runs for several days before giving the error message:
Unrecognized function or variable ‘cgg_0819_ff_c.occbin_difference’.
Error in occbin.solve_one_constraint (line 193)
[binding, relax, err]=feval([M_.fname,‘.occbin_difference’],zdatalinear_+repmat(dr_base.ys’,size(zdatalinear_,1),1),M_.params,dr_base.ys);
The full log file is attached. I have a similar issue if I run the model on a very small subset of the data (even ~10 observations): the estimation runs for ages trying to find the mode before breaking. cgg_0819_ff_c.log (9.5 KB) cgg_data_zlb2.mat (5.2 KB)
That is really strange, because that file must have been found on each single previous iteration. Did you run the code with mirroring on a cloud drive?
