Measurement errors, stoch_simul and estimation

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Measurement errors, stoch_simul and estimation

Postby Aldo » Sun Jun 11, 2017 12:35 am

My final goal is estimation, and I have next questions:

(1) Inclusion of measurement errors. The variances of these are not part of the parameters to be estimated, so I am including them within the block of shocks. Is this the correct way to include measurement errors?

(2) The role of stoch_simul before estimation. The .mod runs fine when I precede the estimation command with stoch_simul. Without stoch_simul appear errors:

Error using print_info (line 100)
Likelihood is a complex number

(3) Where can I find output of use Monte-Carlo based optimization routine (mode_compute=6).

I attach my files.

Thanks.

Aldo
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Aldo
 
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Re: Measurement errors, stoch_simul and estimation

Postby jpfeifer » Sun Jun 11, 2017 8:39 am

1. Yes, that is the correct way of calibrating measurement error
2. In Dynare 4.5 I cannot replicate this issue. This seems to have been due to a bug in Dynare 4.4.3 related to the qz_criterium as your model has a unit root. With the
Code: Select all
diffuse_filter
option in Dynare 4.5, it is gone.
3. Which output are you looking for?
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Measurement errors, stoch_simul and estimation

Postby Aldo » Thu Jun 15, 2017 12:17 am

Thanks a lot dear jpfeifer. Your work is great.

About my last question, I am looking for result showed in waitbar, Acceptance rate.
Aldo
 
Posts: 56
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Re: Measurement errors, stoch_simul and estimation

Postby jpfeifer » Fri Jun 16, 2017 8:04 am

That information is not saved as it is pretty meaningless. The acceptance rate does not provide any indication on whether the mode-finding was successful
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
Joined: Sun Feb 21, 2010 4:02 pm
Location: Cologne, Germany


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