bayesian estimation

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bayesian estimation

Postby colombiandsge » Tue Aug 20, 2013 9:40 pm

Dear all,

I'm new in Bayesian estimation. I'm trying to make a simple example supported on the example of the Guide. However, (I have attached a mod file ) show the priors and then displays the following error:

Error in ==> kalman_filter at 78
notsteady = max(max(abs(K-oldK))) > riccati_tol;

Error in ==> DsgeLikelihood at 254
LIK = kalman_filter(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol);

Error in ==> initial_estimation_checks at 60
[fval,cost_flag,ys,trend_coeff,info] =
DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);

Error in ==> dynare_estimation_1 at 334
initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);

Error in ==> dynare_estimation at 62
dynare_estimation_1(var_list,varargin{:});

Error in ==> Ulighbay at 134
dynare_estimation(var_list_);

Error in ==> dynare at 132
evalin('base',fname) ;


psd. I saw the example margaretchang but not is same.

help me,
colombiandsge
Attachments
Ulighbay.mod
(1.42 KiB) Downloaded 195 times
fsdatb.m
(6.28 KiB) Downloaded 179 times
colombiandsge
 
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Re: bayesian estimation

Postby jpfeifer » Thu Aug 22, 2013 7:25 am

You forgot to set the variance of e1. Due to it being initialized to 0, your model is stochastically singular.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Location: Cologne, Germany

Re: bayesian estimation

Postby colombiandsge » Thu Aug 22, 2013 8:44 pm

jpfeifer wrote:You forgot to set the variance of e1. Due to it being initialized to 0, your model is stochastically singular.


It´s big mistake. Thank you jpfeifer .

colombiandsge
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Re: bayesian estimation

Postby emeliafaith » Fri Dec 13, 2013 9:39 am

I have read the bullet points and i completely agree with you. Thank you for sharing your thoughts. Your article shows tells me you must have a lot of background in this topic.
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Re: bayesian estimation

Postby Wendy88 » Mon Jan 06, 2014 11:56 am

Its really good to know me! Great site and a great topic as well i really get amazed to read this thanks. love this way!
Well i have also faced this problem.......it was very disturbing for me.....!
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