sticky information model, fmincon function

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Houda
Houda on 19 Jan 2018
Commented: Houda on 24 Jan 2018
Hey, I am using Reis (2009) model, and I just replicate his results using his data. Starting with the SIBE folder, to first get the mode of the posterior distribution with the SIGE_mode: I get the following errors (matlab 2015a):
Warning: R-square and the F statistic are not well-defined unless X has a column of ones.
Type "help regress" for more information.
> In regress (line 164)
In SIGE_mode (line 33)
Subscripted assignment dimension mismatch.
Error in SIGEv (line 32)
Omega(:,1:5)=PHI;
Error in SIGEloglik (line 44)
V=SIGEv(ma_m,ma_a,ma_g,ma_nu,ma_gam,Sigma);
Error in SIGEpost (line 25)
L = SIGEloglik(pars)'; % Minus Log-likelihood
Error in fmincon (line 534)
initVals.f = feval(funfcn{3},X,varargin{:});
Error in SIGE_mode (line 67)
[Mode fval a b c d hess] = ...
Caused by:
Failure in initial user-supplied objective function evaluation. FMINCON cannot continue.
How should I fix this?? thanks for your help Houda
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Walter Roberson
Walter Roberson on 20 Jan 2018
I had to go to the dataverse site to find some of the files, but even that site did not have SIGE_mode . SIGE_mode is mentioned in one of the .doc files but it does not appear to be available.
Houda
Houda on 20 Jan 2018
Edited: Houda on 20 Jan 2018
the code SIGE_mode is included in the zipped file attached above, I attach it again (file name 2008-0077_data), the folder that contains this code is SIBE folder. I am looking also to the codes in dataverse, I didn't know about it before you told me. Thanks

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Accepted Answer

Walter Roberson
Walter Roberson on 20 Jan 2018
I see it now; I am not sure why I could not find it earlier.
The code in SIGEv has a bug unless N (the number of periods, configured in SIGE_mode) is less than or equal to T (the number of rows in the input data, read in SIGE_mode). You will need to reduce N (currently 100) to something <= 75
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Walter Roberson
Walter Roberson on 20 Jan 2018
The code in SIGEv.m fails if N > T. I traced the source of N and T back to SIGE_mode where N is assigned in the line you indicate and T is assigned a few lines earlier as the number of rows of data read in.
Houda
Houda on 24 Jan 2018
It works for N=74 Thanks dear Walter Houda

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