Hello all.
I am trying to estimate by maximum likelihood model which includes random walk equation. When optimization starts dynare stack on the same value function in iterations and shows NaN in each iteration. How effectively I can estimate this model ? Thanks a lot in advance
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estimation with random walk
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As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
As Dynare 4 is the current Dynare version, there forum is now close. Post new question in the Dynare Help Forum.
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estimation with random walk
by alexnomad » Thu Mar 19, 2009 1:57 pm
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Re: estimation with random walk
by StephaneAdjemian » Thu Mar 19, 2009 2:09 pm
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Re: estimation with random walk
by iacoviel » Thu Mar 19, 2009 6:59 pm
There is some issue when one uses Dynare 4 to estimate a model with unit roots + deterministic trends + measurement error. One workaround is to treat measurement errors as additional shocks to the observation equations inside the model block. I posted a message a while ago but noone answered 
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