Deal with non-PSD Hessian
Posted: Thu Jun 16, 2011 2:19 am
When I switch from version 4.0 to version 4.2, one of my code run into the issue with non-positive definite Hessian matrix more often so that dynare stopped working there. It usually suggests me to change the start value, however, there are about 20 to 30 parameters. Is there any rule of thumb or hint about how I should change the starting point, i.e, to change which parameter, to which direction?
Thanks for your input.
Thanks for your input.