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novice trying to estimate a DSGE

PostPosted: Wed Apr 27, 2011 11:16 am
by anne
Hey,
I hope someone could help me. I am trying to solve my first DSGE, so I am "new" with this kind of stuff...
I wrote my code and always get the same error message

First

POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the "mode" is not positive definite!
=> posterior variance of the estimated parameters are not positive.
You should try to change the initial values of the parameters using
the estimated_params_init block, or use another optimization routine.
Warning: The results below are most likely wrong!
> In dynare_estimation_1 at 683
In dynare_estimation at 62
In argentina at 235
In dynare at 132

And, then after the presentation of the results from posterior maximization.

??? Error using ==> chol
Matrix must be positive definite.

Error in ==> metropolis_hastings_initialization at 52
d = chol(vv);

Error in ==> random_walk_metropolis_hastings at 58
[ ix2, ilogpo2, ModelName, MhDirectoryName, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...

Error in ==> dynare_estimation_1 at 1106
feval(options_.posterior_sampling_method,'DsgeLikelihood',options_.proposal_distribution,xparam1,invhess,bounds,gend,data,...

Error in ==> dynare_estimation at 62
dynare_estimation_1(var_list,varargin{:});

Error in ==> argentina at 235
dynare_estimation(var_list_);

Error in ==> dynare at 132
evalin('base',fname) ;

I guess this is all linked to the value of the parameters but I don't know how to use the "estimated_params_init blocks" to get values that will work. I guess this is a very "novice" question, but I hope someone could help me out.
Thanks a lot !

Anne.