[R] Replicate Christensen, Dib (2008) using BMR package

[Xue Li]

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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