Message-ID: <SG2PR06MB174130F040AEA7C67E61B2E3BC720@SG2PR06MB1741.apcprd06.prod.outlook.com>
Date: 2017-01-23T15:09:30Z
From: Xue Li
Subject: Replicate Christensen, Dib (2008) using BMR package
Dear all,
I am trying to replicate Christensen, Dib (2008)'s estimation results using "EDSGE" function in BMR package. Attached are my R code, the data I collected and preprocessed, and the paper.
I set the priors following the literature (e.g., Smets and Wouters, 2007). However, when I ran the code, R reported error messages like:
Beginning MCMC run, Mon Jan 23 22:42:03 2017.
Error in chol.default(CovM) :
the leading minor of order 2 is not positive definite
In addition: Warning message:
In sqrt(parModeHessian) : NaNs produced
I also found that the estimation is sensitive to initial values and/or prior settings. I am struggling with debugging the code and hope someone could help me out. Thanks!
Best,
April
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