by georgiana_alina » Sun May 11, 2014 7:04 am
Professor Jpfeifer,
Firstly, I want to thank your for all the help, I really appreciate all your support.
Regarding the use of both mode_compute-6 and, respectively, mode_compute=9, I have tried to use a combination of both of them, as you indicated.
I haves started with a mode_compute=6 in the estimation function:
estimation(datafile=db, xls_sheet=dbs, xls_range=A1:G56, first_obs=1, presample=4,lik_init=2,prefilter=0,mh_replic=350000, mh_nblocks=2,mh_jscale=0.30, mode_compute=6, smoother, mh_drop=0.5,tex,bayesian_irf);
Afterwards, I have introduced in the mode_compute=9 and the mode_file option in the estimation function, keeping the same name of the mode file:
estimation(datafile=db, xls_sheet=dbs,xls_range=A1:G56,first_obs=1, presample=4,lik_init=2,prefilter=0,mh_replic=350000, mh_nblocks=2,mh_jscale=0.30, mode_compute=9, mode_file=db_mode, mh_drop=0.5,tex,bayesian_irf);
The error message that occurred is described above. Do you have any suggestion for solve this error? Or maybe, there is something wrong in the way I introduce the mode_file option?
Many thanks!
The Output was the following:
Initial value of the log posterior (or likelihood): -589.8629
n=36: (7,14)-CMA-ES(w=[36 24 16 11 7 4 1]%, mu_eff=4.3) on function dsge_likelihood
Iterat, #Fevals: Function Value (median,worst) |Axis Ratio|idx:Min SD idx:Max SD
1 , 15 : 1.0000000000000e+08 +(1e-08,4e-08) | 1.03e+00 | 28:9.3e-05 12:9.4e-05
#Fevals: f(returned x) | bestever.f | stopflag
16: 1.00000000000e+08 | 5.89862895442e+02 | equalfunvals
mean solution: +3.0e+00 +5.6e-01 +2.9e+00 +6.2e-01 +2.3e-02 +1.6e-02 +3.0e+00 +9.2e-01 +9.0e-01 +9.9e-01 +9.7e-01 +8.7e-01 +7.1e-01 +4.4e-01 +6.7e-01 +6.8e-02 +6.9e+00 +2.8e-01 +4.4e-01 +3.4e-01 +5.6e+00 +9.5e-01 +6.0e-01 +6.6e-01 +7.9e-01 +1.7e+00 +1.0e+00 +9.8e-01 +1.7e-01 +9.6e-04 +7.0e-01 +5.1e-01 +5.2e+00 +5.1e-01 +1.5e+00 +3.7e-01
std deviation: 9.3e-05 9.4e-05 9.3e-05 9.3e-05 9.3e-05 9.3e-05 9.4e-05 9.4e-05 9.3e-05 9.3e-05 9.3e-05 9.4e-05 9.3e-05 9.3e-05 9.3e-05 9.4e-05 9.3e-05 9.4e-05 9.3e-05 9.4e-05 9.3e-05 9.4e-05 9.3e-05 9.3e-05 9.3e-05 9.3e-05 9.4e-05 9.3e-05 9.4e-05 9.3e-05 9.4e-05 9.4e-05 9.4e-05 9.3e-05 9.4e-05 9.4e-05
use plotcmaesdat.m for plotting the output at any time (option LogModulo must not be zero)
Objective function at mode: 100000000.000000
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 711
In dynare_estimation at 84
In db at 497
In dynare at 162
Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND = 1.574083e-16.
> In dynare_estimation_1 at 726
In dynare_estimation at 84
In db at 497
In dynare at 162
Log data density [Laplace approximation] is -714.040281.
Error using chol
Matrix must be positive definite.
Error in metropolis_hastings_initialization (line 68)
d = chol(vv);
Error in random_walk_metropolis_hastings (line 62)
[ ix2, ilogpo2, ModelName, MetropolisFolder, fblck, fline, npar, nblck, nruns, NewFile, MAX_nruns, d ] = ...
Error in dynare_estimation_1 (line 799)
feval(options_.posterior_sampling_method,objective_function,options_.proposal_distribution,xparam1,invhess,bounds,dataset_,options_,M_,estim_params_,bayestopt_,oo_);
Error in dynare_estimation (line 84)
dynare_estimation_1(var_list,dname);
Error in azi2pol3_pol2final (line 497)
dynare_estimation(var_list_);
Error in dynare (line 162)
evalin('base',fname) ;