Starting preprocessing of the model file ... Found 61 equation(s). Evaluating expressions...done Computing static model derivatives (order 1). Computing dynamic model derivatives (order 2). Processing outputs ... done Preprocessing completed. STEADY-STATE RESULTS: APhat 0 ANhat 0 AThat 0 Bstarihat 0 Chat 0 Cihat 0 Cjhat 0 Ctildeihat 0 Dhat 0 D_GDPhat 0 Deltashat 0 GDPhat 0 Ghat 0 GIhat 0 GPhat 0 GShat 0 GThat 0 GTjhat 0 GVAhat 0 GWhat 0 Hhat 0 Ihat 0 ihat 0 INhat 0 istarhat 0 IThat 0 KPhat 0 KNhat 0 KThat 0 lambdaihat 0 LPhat 0 LNhat 0 LThat 0 Mhat 0 omegaNhat 0 omegaThat 0 pChat 0 pihat 0 PiNhat 0 pistarhat 0 PiThat 0 pMhat 0 pNhat 0 Psihat 0 pThat 0 rNhat 0 rThat 0 TBhat 0 TB_GDPhat 0 ToThat 0 TRhat 0 Upsilonhat 0 wPhat 0 wNhat 0 wThat 0 Xhat 0 Yhat 0 YChat 0 YPhat 0 YNhat 0 YThat 0 Residuals of the static equations: Equation number 1 : 0 : 1 Equation number 2 : 0 : 2 Equation number 3 : 0 : 3 Equation number 4 : 0 : 4 Equation number 5 : 0 : 5 Equation number 6 : 0 : 6 Equation number 7 : 0 : 7 Equation number 8 : 0 : 8 Equation number 9 : 0 : 9 Equation number 10 : 0 : KThat Equation number 11 : 0 : KNhat Equation number 12 : 0 : 12 Equation number 13 : 0 : YThat Equation number 14 : 0 : AThat Equation number 15 : 0 : 15 Equation number 16 : 0 : 16 Equation number 17 : 0 : 17 Equation number 18 : 0 : 18 Equation number 19 : 0 : YNhat Equation number 20 : 0 : ANhat Equation number 21 : 0 : 21 Equation number 22 : 0 : 22 Equation number 23 : 0 : 23 Equation number 24 : 0 : 24 Equation number 25 : 0 : 25 Equation number 26 : 0 : YChat Equation number 27 : 0 : Hhat Equation number 28 : 0 : pChat Equation number 29 : 0 : Yhat Equation number 30 : 0 : 30 Equation number 31 : 0 : 31 Equation number 32 : 0 : YPhat Equation number 33 : 0 : APhat Equation number 34 : 0 : KPhat Equation number 35 : 0 : ihat Equation number 36 : 0 : Psihat Equation number 37 : 0 : 37 Equation number 38 : 0 : 38 Equation number 39 : 0 : GWhat Equation number 40 : 0 : GIhat Equation number 41 : 0 : GPhat Equation number 42 : 0 : GThat Equation number 43 : 0 : 43 Equation number 44 : 0 : 44 Equation number 45 : 0 : pistarhat Equation number 46 : 0 : 46 Equation number 47 : 0 : Upsilonhat Equation number 48 : 0 : ToThat Equation number 49 : 0 : Xhat Equation number 50 : 0 : 50 Equation number 51 : 0 : 51 Equation number 52 : 0 : 52 Equation number 53 : 0 : 53 Equation number 54 : 0 : 54 Equation number 55 : 0 : 55 Equation number 56 : 0 : 56 Equation number 57 : 0 : 57 Equation number 58 : 0 : 58 Equation number 59 : 0 : D_GDPhat Equation number 60 : 0 : 60 Equation number 61 : 0 : TB_GDPhat You did not declare endogenous variables after the estimation/calib_smoother command. Smoothed variables will be computed for the 61 endogenous variables of your model, this can take a long time .... Choose one of the following options: [1] Consider all the endogenous variables. [2] Consider all the observed endogenous variables. [3] Stop Dynare and change the mod file. options [default is 1] = 2 Initial value of the log posterior (or likelihood): -28977.3203 ========================================================== Change in the posterior covariance matrix = 9.9999. Change in the posterior mean = 7.8795. Mode improvement = 28500.1281 New value of jscale = 0.0060227 ========================================================== ========================================================== Change in the posterior covariance matrix = 0.69019. Change in the posterior mean = 5.1553. Mode improvement = 102.244 New value of jscale = 0.41989 ========================================================== ========================================================== Change in the posterior covariance matrix = 0.61695. Change in the posterior mean = 1.9953. Mode improvement = 33.0948 New value of jscale = 0.21469 ========================================================== Optimal value of the scale parameter = 0.21469 Final value of minus the log posterior (or likelihood):341.853380 MODE CHECK Fval obtained by the minimization routine (minus the posterior/likelihood)): 341.853380 RESULTS FROM POSTERIOR ESTIMATION parameters prior mean mode s.d. prior pstdev aleph 0.500 0.0000 0.0787 unif 0.2887 mu 0.500 0.1271 0.0304 beta 0.1000 nu 0.000 0.2819 0.1432 norm 1.0000 phiN 2.000 0.3611 0.3161 gamm 1.0000 phistar 1.000 0.3623 0.0870 gamm 0.5000 phiT 2.000 0.1751 0.3678 gamm 1.0000 psi 0.400 0.2074 0.0428 invg 0.1500 rho 0.800 0.3875 0.0272 beta 0.0500 rhoGI 0.800 0.6808 0.0316 beta 0.0500 rhoGP 0.800 0.9263 0.0127 beta 0.0500 rhoGT 0.800 0.8778 0.0282 beta 0.0500 rhoGW 0.800 0.6635 0.0327 beta 0.0500 rhostar 0.800 0.9390 0.0135 beta 0.0500 rhoi 0.800 0.5690 0.0385 beta 0.0500 rhoP 0.800 0.7289 0.0245 beta 0.0500 rhoN 0.800 0.8405 0.0299 beta 0.0500 rhoT 0.800 0.8532 0.0165 beta 0.0500 tauL 0.200 0.1558 0.0491 beta 0.0500 upsilon 1.000 0.0295 0.0166 gamm 0.5000 varphiGDP 0.250 1.1090 0.0776 gamm 0.1000 varphis 0.500 0.2004 0.0947 gamm 0.1000 varphipi 1.500 1.7069 0.0426 gamm 0.1000 varsigma 0.800 0.8239 0.0293 beta 0.0500 vartheta 1.000 0.7734 0.0319 invg 0.1000 standard deviation of shocks prior mean mode s.d. prior pstdev epsIhat 1.000 1.5271 0.1270 invg Inf epsWhat 1.000 1.7546 0.1969 invg Inf epsPhat 1.000 5.4151 0.7417 invg Inf epsThat 1.000 2.0581 0.2036 invg Inf estarhat 1.000 0.2262 0.0229 invg Inf varepsilonhat 1.000 0.1295 0.0760 invg Inf varepsilonNhat 1.000 0.3846 0.1360 invg Inf varepsilonstarhat 1.000 0.1799 0.0193 invg Inf varepsilonThat 1.000 1.2056 0.0942 invg Inf varepsilonPhat 1.000 3.8190 0.3713 invg Inf Log data density [Laplace approximation] is -427.707219. Estimation::mcmc: Multiple chains mode. Estimation::mcmc: Searching for initial values... Estimation::mcmc: Initial values found! Estimation::mcmc: Write details about the MCMC... Ok! Estimation::mcmc: Details about the MCMC are available in Estimacion/metropolis\Estimacion_mh_history_0.mat Estimation::mcmc: Number of mh files: 6 per block. Estimation::mcmc: Total number of generated files: 24. Estimation::mcmc: Total number of iterations: 2000000. Estimation::mcmc: Current acceptance ratio per chain: Chain 1: 28.9037% Chain 2: 28.6849% Chain 3: 29.2439% Chain 4: 29.0969% Estimation::mcmc: Total number of MH draws per chain: 2000000. Estimation::mcmc: Total number of generated MH files: 6. Estimation::mcmc: I'll use mh-files 2 to 6. Estimation::mcmc: In MH-file number 2 I'll start at line 152778. Estimation::mcmc: Finally I keep 1500000 draws per chain. MCMC Inefficiency factors per block Parameter Block 1 Block 2 Block 3 Block 4 SE_epsIhat 334.788 330.170 323.856 318.527 SE_epsWhat 509.100 503.805 508.775 503.810 SE_epsPhat 488.225 505.544 475.096 483.367 SE_epsThat 389.906 378.768 397.599 379.500 SE_estarhat 290.319 279.363 290.381 289.776 SE_varepsilonhat 193.897 190.418 210.826 213.006 SE_varepsilonNhat 477.972 480.894 495.509 473.227 SE_varepsilonstarhat 396.098 400.110 399.140 390.262 SE_varepsilonThat 356.553 350.884 336.575 346.214 SE_varepsilonPhat 371.618 369.608 381.444 365.920 aleph 705.071 711.842 716.692 713.814 mu 525.868 536.313 540.985 510.927 nu 562.615 577.978 597.021 545.251 phiN 352.748 372.114 351.390 375.216 phistar 571.676 574.627 583.711 560.405 phiT 252.656 274.797 269.287 236.003 psi 346.241 341.860 332.136 347.169 rho 683.402 684.045 693.948 680.247 rhoGI 519.832 514.973 528.912 513.824 rhoGP 438.858 437.816 419.159 423.271 rhoGT 424.873 423.219 434.703 423.360 rhoGW 499.950 490.656 503.174 486.142 rhostar 557.187 558.669 563.621 551.404 rhoi 532.438 542.890 549.844 531.901 rhoP 627.031 627.857 619.318 625.641 rhoN 633.687 639.191 628.361 645.793 rhoT 641.364 650.400 661.171 629.179 tauL 472.924 478.945 481.166 483.710 upsilon 384.971 355.081 361.796 362.284 varphiGDP 698.173 685.766 684.849 690.153 varphis 442.402 400.338 385.110 386.003 varphipi 691.392 677.277 686.029 676.904 varsigma 603.958 612.579 616.560 611.331 vartheta 572.481 604.390 584.867 589.253 Estimation::mcmc::diagnostics: Univariate convergence diagnostic, Brooks and Gelman (1998): Parameter 1... Done! Parameter 2... Done! Parameter 3... Done! Parameter 4... Done! Parameter 5... Done! Parameter 6... Done! Parameter 7... Done! Parameter 8... Done! Parameter 9... Done! Parameter 10... Done! Parameter 11... Done! Parameter 12... Done! Parameter 13... Done! Parameter 14... Done! Parameter 15... Done! Parameter 16... Done! Parameter 17... Done! Parameter 18... Done! Parameter 19... Done! Parameter 20... Done! Parameter 21... Done! Parameter 22... Done! Parameter 23... Done! Parameter 24... Done! Parameter 25... Done! Parameter 26... Done! Parameter 27... Done! Parameter 28... Done! Parameter 29... Done! Parameter 30... Done! Parameter 31... Done! Parameter 32... Done! Parameter 33... Done! Parameter 34... Done! Estimation::marginal density: I'm computing the posterior mean and covariance... Done! Estimation::marginal density: I'm computing the posterior log marginal density (modified harmonic mean)... Done! ESTIMATION RESULTS Log data density is -411.959872. parameters prior mean post. mean 90% HPD interval prior pstdev aleph 0.500 0.2417 0.0000 0.5723 unif 0.2887 mu 0.500 0.1211 0.0713 0.1692 beta 0.1000 nu 0.000 0.3009 0.1051 0.4958 norm 1.0000 phiN 2.000 0.4636 0.2015 0.7236 gamm 1.0000 phistar 1.000 0.4010 0.2060 0.5899 gamm 0.5000 phiT 2.000 0.2627 0.0550 0.4620 gamm 1.0000 psi 0.400 0.2240 0.1615 0.2838 invg 0.1500 rho 0.800 0.4054 0.3031 0.5066 beta 0.0500 rhoGI 0.800 0.6831 0.6130 0.7529 beta 0.0500 rhoGP 0.800 0.9199 0.8976 0.9418 beta 0.0500 rhoGT 0.800 0.8785 0.8406 0.9174 beta 0.0500 rhoGW 0.800 0.6679 0.6105 0.7267 beta 0.0500 rhostar 0.800 0.9294 0.8969 0.9635 beta 0.0500 rhoi 0.800 0.5609 0.4899 0.6338 beta 0.0500 rhoP 0.800 0.7352 0.6553 0.8159 beta 0.0500 rhoN 0.800 0.8350 0.7717 0.8998 beta 0.0500 rhoT 0.800 0.8454 0.8046 0.8883 beta 0.0500 tauL 0.200 0.1659 0.0992 0.2323 beta 0.0500 upsilon 1.000 0.0385 0.0097 0.0659 gamm 0.5000 varphiGDP 0.250 1.0734 0.8578 1.2861 gamm 0.1000 varphis 0.500 0.2048 0.1638 0.2450 gamm 0.1000 varphipi 1.500 1.7306 1.5626 1.8990 gamm 0.1000 varsigma 0.800 0.8159 0.7365 0.8957 beta 0.0500 vartheta 1.000 0.7896 0.6922 0.8836 invg 0.1000 standard deviation of shocks prior mean post. mean 90% HPD interval prior pstdev epsIhat 1.000 1.5570 1.3368 1.7731 invg Inf epsWhat 1.000 1.9428 1.5550 2.3223 invg Inf epsPhat 1.000 5.9924 4.7727 7.2071 invg Inf epsThat 1.000 2.1074 1.7633 2.4438 invg Inf estarhat 1.000 0.2302 0.1974 0.2625 invg Inf varepsilonhat 1.000 0.1319 0.1088 0.1545 invg Inf varepsilonNhat 1.000 0.4364 0.3116 0.5590 invg Inf varepsilonstarhat 1.000 0.1864 0.1546 0.2170 invg Inf varepsilonThat 1.000 1.2391 1.0603 1.4133 invg Inf varepsilonPhat 1.000 3.9185 3.3178 4.4957 invg Inf Estimation::mcmc: Smoothed variables Estimation::mcmc: Smoothed variables, done! Estimation::mcmc: Smoothed shocks Estimation::mcmc: Smoothed shocks, done! Estimation::mcmc: Trend_coefficients Estimation::mcmc: Trend_coefficients, done! Estimation::mcmc: Smoothed constant Estimation::mcmc: Smoothed constant, done! Estimation::mcmc: Smoothed trend Estimation::mcmc: Smoothed trend, done! Estimation::mcmc: Updated Variables Estimation::mcmc: Updated Variables, done! MODEL SUMMARY Number of variables: 61 Number of stochastic shocks: 10 Number of state variables: 21 Number of jumpers: 10 Number of static variables: 35 MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS Variables epsIhat epsPhat epsThat epsWhat estarhat varepsilonhat varepsilonPhat varepsilonNhat varepsilonstarhat varepsilonThat epsIhat 2.424252 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 epsPhat 0.000000 35.909235 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 epsThat 0.000000 0.000000 4.441067 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 epsWhat 0.000000 0.000000 0.000000 3.774402 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 estarhat 0.000000 0.000000 0.000000 0.000000 0.052978 0.000000 0.000000 0.000000 0.000000 0.000000 varepsilonhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.017395 0.000000 0.000000 0.000000 0.000000 varepsilonPhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 15.354856 0.000000 0.000000 0.000000 varepsilonNhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.190418 0.000000 0.000000 varepsilonstarhat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.034761 0.000000 varepsilonThat 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.535336 POLICY AND TRANSITION FUNCTIONS Chat GDPhat Ghat GIhat GVAhat ihat Ihat istarhat pihat pistarhat APhat(-1) -0.007360 0.014503 0 0 0.157759 0.004704 0.118460 -0.005533 -0.010087 0 ANhat(-1) 0.066895 0.210320 0 0 0.222015 0.072339 0.837052 -0.093416 -0.174115 0 AThat(-1) 0.023337 -0.016017 0 0 0.471315 0.023386 0.628952 -0.010138 -0.123706 0 Bstarihat(-1) 0.264516 0.415095 0 0 0.041670 0.006643 1.103233 -0.184373 -0.016123 0 Dhat(-1) 0.170860 0.250991 0 0 0.014790 0.001476 0.625224 0.162885 -0.006643 0 GDPhat(-1) 0.050840 0.052426 0 0 0.006199 0.002193 0.088937 0.025388 0.552721 0 GIhat(-1) 0.033575 0.050238 0 0.683121 0.003577 0.001380 0.127553 0.000759 -0.000418 0 GPhat(-1) 0.047637 0.071675 0.204422 0 0.035611 0.001827 0.073923 -0.011739 -0.002799 0 GThat(-1) 0.166295 0.130224 0 0 0.007433 0.002815 0.097309 -0.016888 -0.000984 0 GWhat(-1) 0.110692 0.141915 0.519510 0 0.020015 0.016189 0.022617 -0.016317 -0.021466 0 ihat(-1) 0.062371 0.118962 0 0 0.003861 -0.001409 0.348142 0.072927 -0.662828 0 istarhat(-1) 0.312494 0.484724 0 0 0.045221 0.006917 1.274461 -0.124633 -0.017801 0 KPhat(-1) -0.002482 -0.001218 0 0 0.051508 0.000016 0.010189 0.000408 -0.003681 0 Psihat(-1) -0.091038 -0.111686 0 0 -0.009055 -0.165844 -0.236350 -0.009780 -0.666166 0 Upsilonhat(-1) 0.428385 0.673842 0 0 0.057390 0.003961 1.784670 0.624833 -0.027384 0 Xhat(-1) 0.047456 0.135801 0 0 0.027937 0.019041 -0.289508 -0.053644 -0.009871 0 KNhat(-1) 0.023696 0.013121 0 0 0.033678 0.004466 -0.008541 -0.009580 -0.049305 0 KThat(-1) 0.024113 -0.173587 0 0 0.149300 -0.051043 -0.536985 0.053696 -0.087311 0 pMhat(-1) 0.022371 0.029886 0 0 0.003179 0.000737 0.069816 -0.003988 0.104681 0 pNhat(-1) -0.023326 -0.002925 0 0 -0.003839 -0.002903 0.053236 0.005379 0.000853 0 pThat(-1) -0.006109 0.000246 0 0 -0.001646 -0.000443 0.016326 0.001081 0.000039 0 epsIhat 0.049150 0.073542 0 1.000000 0.005236 0.002020 0.186721 0.001111 -0.000612 0 epsPhat 0.051785 0.077916 0.222222 0 0.038712 0.001986 0.080360 -0.012761 -0.003043 0 epsThat 0.189301 0.148240 0 0 0.008462 0.003204 0.110771 -0.019224 -0.001120 0 epsWhat 0.165722 0.212466 0.777778 0 0.029965 0.024237 0.033860 -0.024429 -0.032137 0 estarhat -0.242145 -0.385208 0 0 -0.038491 -0.005906 -1.033417 0.180385 0.120804 1.000000 varepsilonhat -0.224577 -0.275512 0 0 -0.022338 -0.409113 -0.583039 -0.024126 -1.643331 0 varepsilonPhat -0.010012 0.019727 0 0 0.214591 0.006398 0.161134 -0.007527 -0.013720 0 varepsilonNhat 0.080110 0.251867 0 0 0.265871 0.086629 1.002401 -0.111869 -0.208509 0 varepsilonstarhat 0.460923 0.725023 0 0 0.061749 0.004262 1.920222 0.672291 -0.029464 0 varepsilonThat 0.027604 -0.018945 0 0 0.557489 0.027662 0.743948 -0.011992 -0.146325 0 THEORETICAL MOMENTS VARIABLE MEAN STD. DEV. VARIANCE Chat 0.0000 1.9142 3.6640 GDPhat 0.0000 2.5080 6.2902 Ghat 0.0000 3.9564 15.6532 GIhat 0.0000 2.1320 4.5454 GVAhat 0.0000 2.0098 4.0395 ihat 0.0000 0.1554 0.0241 Ihat 0.0000 4.9855 24.8550 istarhat 0.0000 0.4455 0.1985 pihat 0.0000 0.3392 0.1151 pistarhat 0.0000 0.2302 0.0530 VARIANCE DECOMPOSITION (in percent) epsIhat epsPhat epsThat epsWhat estarhat varepsilonhat varepsilonPhat varepsilonNhat varepsilonstarhat varepsilonThat Chat 1.30 48.65 35.33 11.18 0.26 0.13 0.19 0.13 1.97 0.86 GDPhat 1.83 59.60 20.84 12.73 0.40 0.16 0.17 0.35 3.11 0.81 Ghat 0.00 73.66 0.00 26.34 0.00 0.00 0.00 0.00 0.00 0.00 GIhat 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 GVAhat 0.10 15.33 0.87 0.44 0.01 0.01 38.60 1.21 0.09 43.35 ihat 0.40 18.93 5.45 18.92 0.05 14.47 5.35 17.43 0.47 18.53 Ihat 3.38 49.61 17.31 9.21 0.74 0.28 2.80 1.27 5.98 9.41 istarhat 2.31 27.57 11.68 13.48 5.01 0.36 1.49 3.35 19.35 15.40 pihat 0.01 0.86 0.16 6.12 0.68 43.76 3.72 10.40 0.04 34.26 pistarhat 0.00 0.00 0.00 0.00 100.00 0.00 0.00 0.00 0.00 0.00 MATRIX OF CORRELATIONS Variables Chat GDPhat Ghat GIhat GVAhat ihat Ihat istarhat pihat pistarhat Chat 1.0000 0.9665 0.7024 0.0856 0.3274 0.2288 0.8480 0.4886 -0.0022 -0.0291 GDPhat 0.9665 1.0000 0.7735 0.1012 0.3235 0.3060 0.8921 0.5025 0.0044 -0.0354 Ghat 0.7024 0.7735 1.0000 0.0000 0.3329 0.3261 0.5743 0.2663 -0.0260 0.0000 GIhat 0.0856 0.1012 0.0000 1.0000 0.0102 0.0328 0.1342 0.0813 -0.0019 0.0000 GVAhat 0.3274 0.3235 0.3329 0.0102 1.0000 0.4341 0.5664 0.2340 -0.0845 -0.0044 ihat 0.2288 0.3060 0.3261 0.0328 0.4341 1.0000 0.4280 0.1916 0.2315 -0.0087 Ihat 0.8480 0.8921 0.5743 0.1342 0.5664 0.4280 1.0000 0.5671 -0.0262 -0.0477 istarhat 0.4886 0.5025 0.2663 0.0813 0.2340 0.1916 0.5671 1.0000 0.1968 0.0932 pihat -0.0022 0.0044 -0.0260 -0.0019 -0.0845 0.2315 -0.0262 0.1968 1.0000 0.0820 pistarhat -0.0291 -0.0354 0.0000 0.0000 -0.0044 -0.0087 -0.0477 0.0932 0.0820 1.0000 COEFFICIENTS OF AUTOCORRELATION Order 1 2 3 4 5 Chat 0.9439 0.8966 0.8493 0.8002 0.7487 GDPhat 0.9517 0.9045 0.8539 0.7985 0.7386 Ghat 0.8535 0.7408 0.6519 0.5799 0.5202 GIhat 0.6831 0.4667 0.3188 0.2178 0.1488 GVAhat 0.8263 0.6907 0.5844 0.5005 0.4339 ihat 0.7800 0.6420 0.5452 0.4712 0.4108 Ihat 0.9467 0.8906 0.8300 0.7646 0.6951 istarhat 0.8573 0.6963 0.5316 0.3748 0.2341 pihat 0.0890 0.0264 0.0038 -0.0034 -0.0048 pistarhat 0.0000 0.0000 0.0000 0.0000 0.0000 Total computing time : 19h44m53s Note: warning(s) encountered in MATLAB/Octave code