Dynare forums

Hello,

I'm running and estimation and its sending me a warning saying that there is a possible inaccuracy in the H matrix.
This message appeared in some of the iterations, and at the end it seems like it converges anyway. What does this mean?

Also, is f supposed to be negative or positive or it doesn't matter?

Thank you for your help. Let me know if more details are needed.

Paulina

Hi Paulina, This message is sent by Chris Sims' optimization routine. If the optimization routine converges, you don't have to bother about this message. The hessian matrix is used to approximate the covariance matrix at the posterior mode. After the optimization routine, Dynare computes again this matrix using a more precise algorithm (but far more numerically demanding).

f is minus (because we use a minimization routine) the logged posterior density. f can be either postive or negative.

Best, Stéphane.

Thank you very much for your response!!

Cheers,

Paulina