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DSGE-VAR Likelihood Functions
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DSGE-VAR Likelihood Functions
by zapadedo » Tue Apr 04, 2017 12:31 am
Solved. Thanks!
Last edited by zapadedo on Tue Apr 11, 2017 8:14 pm, edited 2 times in total.
- zapadedo
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Re: How to Display Prior-Posterior Plots
by jpfeifer » Wed Apr 05, 2017 11:40 am
1. You don't get the plots because of the
2. The model_comparison fails because the estimation does not properly work. You did not find a correct mode and the data is wrong. obs_y_h for example has a massive seasonal pattern
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nograph
2. The model_comparison fails because the estimation does not properly work. You did not find a correct mode and the data is wrong. obs_y_h for example has a massive seasonal pattern
- jpfeifer
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- Location: Cologne, Germany
DSGE-VAR Likelihood Functions
by zapadedo » Thu Apr 06, 2017 10:34 am
Solved. Thanks!
Last edited by zapadedo on Tue Apr 11, 2017 8:13 pm, edited 1 time in total.
- zapadedo
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Re: DSGE-VAR Likelihood Functions
by jpfeifer » Sun Apr 09, 2017 10:41 am
You should be working with different priors that do not imply asymptotes (e.g. at the unit root). In the unstable version I get
That should explain the problems with rho_a_star.
Regarding the DSGE-VAR, the implied covariance matrix of the VAR's innovations, based on the artificial sample, is not positive definite. This suggests that your model is stochastically singular, i.e. the shocks you have left are not sufficient to get observables used in the VAR that are not exact linear combinations.
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Prior distribution for parameter theta_star has unbounded density!
Prior distribution for parameter rho_a_star has unbounded density!
Prior distribution for parameter phi_e_h has unbounded density!
Prior distribution for parameter phi_e_star has unbounded density!
That should explain the problems with rho_a_star.
Regarding the DSGE-VAR, the implied covariance matrix of the VAR's innovations, based on the artificial sample, is not positive definite. This suggests that your model is stochastically singular, i.e. the shocks you have left are not sufficient to get observables used in the VAR that are not exact linear combinations.
- jpfeifer
- Posts: 6940
- Joined: Sun Feb 21, 2010 4:02 pm
- Location: Cologne, Germany
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