DSGE贝叶斯估计问题！！

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474687098 发表于 2020-6-14 23:42:19 |AI写论文

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模型正常做dynare能出结果，但是放到贝叶斯估计里面就出现
STEADY-STATE RESULTS:

Y          0.605788
C          0.429185
I          0.0845228
K          0.845228
L          0.978982
W          0.297021
R          0.120408
A          1
r          0.0204082
Po         1
O          0.0920797
q          1
B          -5.93672
G          1
gy_obs    1
gc_obs    1
gp_obs    1

EIGENVALUES:
      Modulus          Real       Imaginary

            0             0             0
   5.962e-16    -5.962e-16             0
      8.9e-16       8.9e-16             0
         0.5             0.5             0
         0.5             0.5             0
         0.5             0.5             0
      0.8457          0.843       0.06736
      0.8457          0.843       -0.06736
         1.02          1.02             0
         1.207             1.2          0.1252
         1.207             1.2       -0.1252
   7.303e+18    -7.303e+18             0
   2.994e+19       2.994e+19             0

There are 5 eigenvalue(s) larger than 1 in modulus
for 5 forward-looking variable(s)

The rank condition is verified.

You did not declare endogenous variables after the estimation/calib_smoother command.

dynare_estimation_init:: The steady state at the initial parameters cannot be computed.
错误使用 print_info (line 32)
The steadystate file did not compute the steady state

出错 dynare_estimation_init (line 603)
print_info(info, 0, options_);

出错 dynare_estimation_1 (line 112)
dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);

出错 dynare_estimation (line 105)
dynare_estimation_1(var_list,dname);

出错 estimation.driver (line 300)
oo_recursive_=dynare_estimation(var_list_);

出错 dynare (line 293)
evalin('base',[fname '.driver']) ;

可是我的内生变量都写上去了：
var Y, C, I , K, L, W, R, A, r, Po, O, q, B, G, gy_obs, gc_obs, gp_obs;

varexo e, u, o;

parameters alpha1, alpha2, beta, delta, zhi, rhoa, rhopo, rhog,
sigmal, sigmac, psi;

alpha1=0.21;
alpha2=0.19;
beta=0.98;
delta=0.1;
sigmac=1.4;
sigmal=1.4;
zhi=5;
rhoa=0.5;
rhopo=0.5;
rhog=0.5;
psi=6;

model;
L^(sigmal)=C^(-sigmac)*W;
q*(C(+1)/C)^(sigmac)=beta*(R(+1)+q(+1)*(1-delta));
q*(1-psi/2*(I/I(-1)-1)^2-psi*(I/I(-1)-1)*I/I(-1))
+beta*(C/C(+1))^(sigmac)*q(+1)*psi*(I(+1)/I-1)*(I(+1)/I)^2=1;
(C(+1)/C)^(sigmac)=beta*(1+r);
C+I+(1+r(-1))*B(-1)+log(G)=W*L+R*K(-1)+B;
//log(G)+B=(1+r(-1))*B(-1);
Y=A*L^(1-alpha1-alpha2)*K(-1)^(alpha1)*O^(alpha2);
K=I*(1-psi/2*(I/I(-1)-1)^2)+(1-delta)*K(-1);
Y=I+C+Po*O;
Po=(zhi-1)/zhi*alpha2*Y/O;
W*L=(1-alpha1-alpha2)/alpha2*Po*O;
R*K(-1)=alpha1/alpha2*Po*O;
log(A(+1))=rhoa*log(A)+e;
log(Po)=rhopo*log(Po(-1))+u;
log(G)=rhog*log(G(-1))+o;
gy_obs=Y/Y(-1);
gc_obs=C/C(-1);
gp_obs=Po/Po(-1);
end;

shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var o;stderr 0.009;
end;

steady_state_model;
Y    =    0.605788;
C    =    0.429185;
I    =    0.0845228;
K    =    0.845228;
L    =    0.978982;
W    =    0.297021;
R    =    0.120408;
A    =    1;
r    =    0.0204082;
Po =    1;
O    =    0.0920797;
q    =    1;
B    =    -5.93672;
G    =    1;

gy_obs=1;
gc_obs=1;
gp_obs=1;
end;

steady;

check;

estimated_params;
sigmac, gamma_pdf, 1.5, 0.25;
sigmal, gamma_pdf, 2, 0.25;
rhog, beta_pdf, 0.5, 0.2;
rhoa, beta_pdf, 0.5, 0.2;
rhopo, beta_pdf, 0.5, 0.2;
stderr e, inv_gamma_pdf, 0.1, inf;
stderr u, inv_gamma_pdf, 0.1, inf;
stderr o, inv_gamma_pdf, 0.1, inf;
end;

varobs gy_obs, gc_obs, gp_obs;

estimation(order=1, datafile=data_simul, nobs=39, mh_replic=2000, mh_nblocks=2, mh_jscale=0.8);