Dynare forums

Dear All,

I am running Smets Wouters2003. However, I am facing a problem on Metropolis Hasting Algorithm and don't know how to solve it. would you please send me some recommendation.


Regards
Helal

You should give more details about the problem that you encounter, so people can decide if they know how to help you without having to run your example.

Best

Michel

Dear Michel,

Thanks for your comments. Following are the problems I am facing in executing this model

Warning: File 'SmetsWouters2003/Output' not found.
> In CheckPath at 42[/color]
In dynare_estimation_1 at 665
In dynare_estimation at 62
In SmetsWouters2003 at 330
In dynare at 120
Warning: File 'SmetsWouters2003/metropolis' not found.
> In CheckPath at 42
In metropolis_hastings_initialization at 46
In random_walk_metropolis_hastings at 58
In dynare_estimation_1 at 871
In dynare_estimation at 62
In SmetsWouters2003 at 330
In dynare at 120
??? 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 871
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 ==> SmetsWouters2003 at 330
dynare_estimation(var_list_);

Error in ==> dynare at 120
evalin('base',fname) ;[/color]

perhaps the optimization algorithm did not find a well behaved hessian for the covariance matrix? look at the the mode_check figures. do you see the posterior is badly behaved in the neighbourhood of the mode?

reuben