fs2000 hessian not positive definite
Posted: Thu May 28, 2015 9:26 pm
Hi all,
I ran the fs2000 code straight out of the box and got the "POSTERIOR KERNEL OPTIMIZATION PROBLEM!" notification that the hessian matrix at the "mode" is not positive definite (see below for full output - does this forum not allow [spoiler] tags?).
I am using Dynare 4.4.3 and Octave 3.8.2 on Windows 7 (64-bit), and did not modify fs2000, fsdat, or fs2000_steadystate.m before estimation. What could be causing this?
Thank you for your input!
I ran the fs2000 code straight out of the box and got the "POSTERIOR KERNEL OPTIMIZATION PROBLEM!" notification that the hessian matrix at the "mode" is not positive definite (see below for full output - does this forum not allow [spoiler] tags?).
I am using Dynare 4.4.3 and Octave 3.8.2 on Windows 7 (64-bit), and did not modify fs2000, fsdat, or fs2000_steadystate.m before estimation. What could be causing this?
Thank you for your input!
- Code: Select all
Improvement on iteration 310 = 0.000000088
improvement < crit termination
Objective function at mode: -1304.862915
POSTERIOR KERNEL OPTIMIZATION PROBLEM!
(minus) the hessian matrix at the "mode" is not positive d
efinite!
=> posterior variance of the estimated parameters are not p
ositive.
You should try to change the initial values of the paramete
rs using
the estimated_params_init block, or use another optimizatio
n routine.
warning: The results below are most likely wrong!
warning: called from
dynare_estimation_1 at line 694 column 9
dynare_estimation at line 89 column 5
fs2000 at line 221 column 1
dynare at line 180 column 1
RESULTS FROM POSTERIOR ESTIMATION
parameters
prior mean mode s.d. prior pstdev
alp 0.356 0.3842 0.0203 beta 0.0200
bet 0.993 0.9916 0.0020 beta 0.0020
gam 0.009 0.0053 0.0009 norm 0.0030
mst 1.000 1.0150 0.0006 norm 0.0070
rho 0.129 0.3359 0.0000 beta 0.2230
psi 0.650 0.6673 0.0500 beta 0.0500
del 0.010 0.0026 0.0016 beta 0.0050
standard deviation of shocks
prior mean mode s.d. prior pstdev
e_a 0.035 0.0132 0.0009 invg Inf
e_m 0.009 0.0054 0.0000 invg Inf
Log data density [Laplace approximation] is 1260.993884.
Total computing time : 0h05m27s
Note: warning(s) encountered in MATLAB/Octave code