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Smoother crash after Bayesian est. of non-stationary model
Posted:
Fri Mar 05, 2010 12:07 pmby reluginbuhl
This model has one shock: technology which is a random walk with drift. Dynare does Bayesian estimation including plots of posteriors for parameters. When trying to produce a plot of the smoothed disturbance the KF/smoother crashes. The stationary version of this model does not crash. What is going on? I am doing something wrong, or is there a problem with Dynare? I can provide mod files for data simulation if desired.
Re: Smoother crash after Bayesian est. of non-stationary model
Posted:
Wed Sep 01, 2010 8:39 amby reluginbuhl
The problem is the result of a variable in the model with a steady state value of 0: the variable is divai. Taking a Taylor series expansion around the log of zero may well explain the problem. At any rate, if I substitute divai out of the model, the problem disappears.
Re: Smoother crash after Bayesian est. of non-stationary model
Posted:
Wed Sep 01, 2010 12:57 pmby reluginbuhl
My original steady state routine is very silly. I have a much better one attached to this message here.