Error Message: Parameter Calculation in New Keynesian Model

[ger163609]

I have inserted the following model to dynare. Unfortunately at the end appears an error message concerning the parameter values and I don't know where the problem is. Every parameter is calibrated, though some composed parameters cannot be calculated. Could you help me out? Thanks.

var y_H, y_F, y, pi_H, pi_F, pi, g_H, g_F, a, v, i;

varexo epsilon_a epsilon_g_H epsilon_g_F epsilon_v;

parameters sigma, rho, phi, alpha, beta, theta, epsilon, phi_pi, phi_y, rho_a, rho_v, rho_g_H, rho_g_F, omega, lambda, sigma_alpha, kappa_y_H, kappa_y_F, kappa_g_H, kappa_g_F, mu, zeta;

alpha = 0.5;
beta = 0.99;
theta = 2/3;
epsilon = 6;
sigma = 1;
phi = 1;

rho_v = 0.5;
rho_a = 0.9;
rho_g_H = 0.9;
rho_g_F = 0.9;

phi_y = 0.5/4;
phi_pi = 1.5;

rho = -1*log(beta);
lambda = (1-theta)*(1-beta*theta)/theta;
sigma_alpha = (1-2*alpha+2*alpha*omega)/sigma;
omega = sigma + (sigma-1)*(1-2*alpha);
kappa_y_H = lambda*(sigma_alpha*(1-alpha+alpha*omega/sigma) + phi);
kappa_y_F = lambda*(sigma - sigma_alpha*(1-alpha+alpha*omega/sigma));
kappa_g_H = -1*lambda*(sigma_alpha*(1-alpha+alpha*omega/sigma));
kappa_g_F = -1*kappa_y_F;
mu = (omega - 1);
zeta = mu*alpha*sigma_alpha/(sigma-mu*alpha*sigma_alpha);


model (linear);

y_H = y_H(+1) - 1/(sigma-mu*alpha*sigma_alpha)*(i - rho - pi_H(+1)) - rho_g_H*g_H + zeta*(y_F(+1)-y_F) + (1-rho_g_F)*zeta*g_F;
y_F = y_F(+1) - 1/(sigma-mu*alpha*sigma_alpha)*(i - rho - pi_F(+1)) - rho_g_F*g_F + zeta*(y_H(+1)-y_H) + (1-rho_g_H)*zeta*g_H;
pi_H = beta*pi_H(+1) + kappa_y_H*y_H + kappa_y_F*y_F + kappa_g_H*g_H + kappa_g_F*g_F - (1+phi)*a;
pi_F = beta*pi_F(+1) + kappa_y_H*y_F + kappa_y_F*y_H + kappa_g_H*g_F + kappa_g_F*g_H - (1+phi)*a;
y = (y_H + y_F)/2;
pi = (pi_H + pi_F)/2;
i = phi_y*y + phi_pi*pi + v;
a = rho_a*a(-1) + epsilon_a;
g_H = rho_g_H*g_H(-1) + epsilon_g_H;
g_F = rho_g_F*g_F(-1) + epsilon_g_F;
v = rho_v*v(-1) + epsilon_v;

end;

initval;

y_H = 0;
y_F = 0;
y = 0;
pi_H = 0;
pi_F = 0;
pi = 0;
i = 0;
g_H = 0;
g_F = 0;
a = 0;
v = 0;

end;

steady;

check;

shocks;

var epsilon_g_H = 0.75^2;
var epsilon_g_F = 0.75^2;
var epsilon_a = 1^2;
var epsilon_v = 0.25^2;

end;

stoch_simul(irf=12);

Configuring Dynare ...
[mex] Generalized QZ.
[mex] Sylvester equation solution.
[mex] Kronecker products.
[mex] Sparse kronecker products.
[mex] Local state space iteration (second order).
[mex] Bytecode evaluation.
[mex] k-order perturbation solver.
[mex] k-order solution simulation.
[mex] Quasi Monte-Carlo sequence (Sobol).
[mex] Markov Switching SBVAR.

Starting Dynare (version 4.3.1).
Starting preprocessing of the model file ...
Found 11 equation(s).
Evaluating expressions...done
Computing static model derivatives:
- order 1
Computing dynamic model derivatives:
- order 1
- order 2
Processing outputs ...done
Preprocessing completed.
Starting MATLAB/Octave computing.

Warning: Some of the parameters have no value (sigma_alpha, kappa_y_H, kappa_y_F,
kappa_g_H, kappa_g_F, zeta) when using steady. If these parameters are not
initialized in a steadystate file, Dynare may not be able to solve the model...
> In test_for_deep_parameters_calibration at 46
In steady at 33
In NKM_second_v at 208
In dynare at 120

STEADY-STATE RESULTS:

y_H 0
y_F 0
y 0
pi_H 0
pi_F 0
pi 0
g_H 0
g_F 0
a 0
v 0
i 0
Error using print_info (line 36)
The generalized Schur (QZ) decomposition failed. For more information, see the
documentation for Lapack function dgges: info=8, n=8

Error in check (line 76)
print_info(info, options.noprint);

Error in NKM_second_v (line 209)
check(M_,options_,oo_);

Error in dynare (line 120)
evalin('base',fname) ;

[jpfeifer]

Parameters must be defined recursively. When using

Code: Select all

sigma_alpha = (1-2*alpha+2*alpha*omega)/sigma;


omega is not yet defined.