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Smoother crash after Bayesian est. of non-stationary model
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Smoother crash after Bayesian est. of non-stationary model
by reluginbuhl » Fri Mar 05, 2010 12:07 pm
This model has one shock: technology which is a random walk with drift. Dynare does Bayesian estimation including plots of posteriors for parameters. When trying to produce a plot of the smoothed disturbance the KF/smoother crashes. The stationary version of this model does not crash. What is going on? I am doing something wrong, or is there a problem with Dynare? I can provide mod files for data simulation if desired.
- Attachments
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BNTnlc_nonS_PP_steadystate.m- steady state calculation (without this Dynare seems to crash)
- (9.54 KiB) Downloaded 126 times
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- NLc88Q109Q3.m
- data file using Dutch CBS quarterly consumption data from 80's to 2009
- (625 Bytes) Downloaded 124 times
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- BNTnlc_nonS_PP.mod
- The mod file for the Bayesian estimation
- (2.38 KiB) Downloaded 134 times
- reluginbuhl
- Posts: 53
- Joined: Wed Mar 04, 2009 2:41 pm
Re: Smoother crash after Bayesian est. of non-stationary model
by reluginbuhl » Wed Sep 01, 2010 8:39 am
The problem is the result of a variable in the model with a steady state value of 0: the variable is divai. Taking a Taylor series expansion around the log of zero may well explain the problem. At any rate, if I substitute divai out of the model, the problem disappears.
- reluginbuhl
- Posts: 53
- Joined: Wed Mar 04, 2009 2:41 pm
Re: Smoother crash after Bayesian est. of non-stationary model
by reluginbuhl » Wed Sep 01, 2010 12:57 pm
My original steady state routine is very silly. I have a much better one attached to this message here.
- Attachments
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- BNTnlc_nonS_PP_steadystate.m
- More efficient steady state file
- (2.77 KiB) Downloaded 125 times
- reluginbuhl
- Posts: 53
- Joined: Wed Mar 04, 2009 2:41 pm
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