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IMF GPM Model - error in estimating likelihood function
Posted:
Mon Oct 31, 2011 8:04 pmby bogmunds
I downloaded the attached code from Doug Laxton's website but it fails when I run it returning "error in computing likelihood for initial parameter values" and "error: BK conditions not satisfied, no stable equilibrium" despite the fact that the BK condition are satisfied (4 eigenvalues with modulus>1 for 4 forward looking variables).
I'm running Dynare 4.2.2 on Octave 3.2.4.
Thanks!
Re: IMF GPM Model - error in estimating likelihood function
Posted:
Tue Nov 01, 2011 9:53 amby donihue
Hello,
I have the same problem, with this and other models (see my post on the same day as yours). This model works perfectly well under Dynare 4.0.4 (for example) but not under Dynare 4.2.2.
Obviously something has changed between the two versions which causes the model(s) to fail, but I am at a loss to know what it is. Let us hope that the Dynare team can point us in the right direction to a solution.
Regards
Donihue
Re: IMF GPM Model - error in estimating likelihood function
Posted:
Tue Nov 01, 2011 5:08 pmby bogmunds
I hope so, it is awfully frustrating. (though I'm glad its not just me).
Cheers.
Re: IMF GPM Model - error in estimating likelihood function
Posted:
Thu Nov 03, 2011 10:06 amby jpfeifer
Apparently, there is a bug. In contrast to what the manual says for Dynare 4.2.2, specifying "unit_root_vars" alone is not sufficient. Try putting
- Code: Select all
lik_init=2
into the options of the estimation command and it should run.
Re: IMF GPM Model - error in estimating likelihood function
Posted:
Fri Nov 18, 2011 9:50 amby SébastienVillemot
There is a bug in Dynare 4.2.2 which appears with some version of the GPM model. For this specific model, you should use version 4.2.1 until we release 4.2.3 (which should happen soon).
Best,