#257: Broken estimation of models with non-diagonal covariance matrix for shocks and calibrated correlation -------------------------+-------------------------------------------------- Reporter: sebastien | Owner: stepan Type: bug | Status: reopened Priority: critical | Milestone: 4.3 Component: Estimation | Version: 4.2.5 Resolution: | Keywords: -------------------------+--------------------------------------------------
Comment(by stepan):
Fixed in git#06ca265272d278d6f4ec9b746c33b5b92da62de9 (checked with fs2000+calibrated correlation between e_a and e_m). I did not add as2007_correlated_shocks.mod to the test suite because I was not able to find a mode (ie positive definite hessian at the mode) with one call to csminwell.