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Posted: **Mon Apr 07, 2014 7:34 pm**

Hello,

I estimated a DSGE model and am now amending the code to estimate a BVAR-DSGE (Del Negro and Schorfheide (2004; 2005), etc.). I am getting some error messages and cannot find detailed guidance on how to do this estimation beyond the dsge_var=. command. The problematic error seems to be

VarSampleMoments :: not enough data to initialize! Try to increase FirstObservation.

I have read the relevant papers carefully and am not sure what to do. Might someone look at my code and data for potential issues here?

Thank you!

Posted: **Thu Apr 10, 2014 6:59 pm**

Does anyone have any advice here?

Posted: **Fri Apr 11, 2014 11:58 am**

Set at least

Code: Select all: first_obs=5

Posted: **Sun Apr 13, 2014 4:18 am**

Thank you for your response. I am still having errors. The error message reads:

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: You should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

yet I have already added the empty block. I am attaching my code for further inspection. I am not sure why the parameter values would not work, as I did estimate the DSGE model without problems using the same values.

Thank you kindly.

Posted: **Sun Apr 13, 2014 5:27 pm**

Note the message before that output. There is a technical condition for the dsge_var-parameter prior to be proper. You must increase dsge_var to at least 0.75 in your case.

Posted: **Sun Apr 13, 2014 5:32 pm**

I am slightly confused. In the estimation command, dsge_var is already set to 0.75. Is there someplace else where this must be represented?

Posted: **Sun Apr 13, 2014 6:15 pm**

Sorry old version. It must be at least 1.48.

Posted: **Sun Apr 13, 2014 6:23 pm**

Thank you. Still, with this change, I get:

Error in computing likelihood for initial parameter values

ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.
ESTIMATION_CHECKS: You should try using the calibrated version of the model as starting values. To do
ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation
ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):

I am using DYNARE 4.4.2. Am I missing something?

Posted: **Mon Apr 14, 2014 5:15 am**

With

Code: Select all: dsge_var = 1.75,

it runs (although there might be another issue as Dynare warns of near singularity. If it does not run, provide the updated mod-file and datafile. Note also that the name of the data-file above does not match the one used in the mod-file.

Posted: **Fri May 16, 2014 6:07 am**

I have just joined the forum and also new to dynare. I have been reading comments on BVAR-DSGE estimation. Could anyone have the final codes that resolved the problems?

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