Yes, the error handling is a bit clumsy. That's due to the fact that the core numerical routine is in FORTRAN (not my emphasis, but stands for FORMula TRANslation) so the only convenient error messages are from FORTRAN's messaging.
I can make a guess as to what the issue is with this routine. Note the following about this part of the algorithm:
It seems that if both A and X are large, R doesn't become small (i.e., such that P = R*P starts to diminish) until K gets on the order of A and X. So, obviously if we choose A and X >> 200 it could be that not much happens to the final value until K approaches 200. In other words, if I were to investigate I'd look at whether the issue here isn't so much "convergence" the way we think, but more a case of not choosing the range of K suitable to the values of X and A. Stated differently, it may be that for a given X and A there is a value of K which most contributes to the final result S = S + P and that value of K (call it K_0) may be larger than 200. So one wonders if the problem should be transformed such that loopindexing is more like
K_0
K_0 + 1
K_0  1
K_0 + 2
K_0  2
etc. Something like that might always converge within a reasonable number of iterations.
However, I don't want to go into that much depth of investigation at the moment.

Dear Dan,
thanks for looking into this. I guess the expectation was that Octave is able to solve this numerical problem the way Matlab does. Because Matlab provides a solution and Octave crashes during execution, we flagged this as a bug in Dynare.
It's difficult to say what the expectation is, given that we are talking about a computational limitation. But I would probably have expected a better error handling with a more informative error message instead of a cryptic crash. One may also debate whether one should return a warning message that the problem could not be solved and return a NaN instead of throwing an exception.
As with respect to the original user, there is kind of a workaround. Using
in the estimation options of Dynare will prevent calling the problematic code. That will come at the cost of not being able to plot the prior distribution, but allows running the estimation. I will adjust Dynare's error message accordingly.

Thanks for the links.
I've looked into the code a bit, just to get a handle on what the issue is. SLATEC D9LGIT is a very short routine, so not difficult to comprehend. SLATEC is a collection of lesser libraries, of which d9lgit belongs to a library called The Fullerton Function Library FN, which has been updated and ported to C/C++ in some way but I didn't look at much of that:
https://people.sc.fsu.edu/~jburkardt/f77_src/fn/fn.html
https://people.sc.fsu.edu/~jburkardt/cpp_src/fn/fn.html
http://www.netlib.org/fn/d9lgit.f
The last reference is the actual, more uptodate code. However, it isn't much different, aside from using the double versions of some of the routines. I'm attaching a diff file that makes Octave's d9lgit.f in line with the one in the link above. (Don't apply this to the repository, though. I don't think we want to start freely modifying thirdpartysourced code.) I don't see any difference in convergence behavior when changing the ABS to DABS.
The issue is that poisscdf (A,A+E) doesn't converge well when A grows large and E shrinks, e.g., poisscdf(1000,1001) versus poisscdf(1000,1002). I don't have time to think of the mathematical ramifications of this property (e.g., does this algorithm outright lose accuracy for the mathematical function as A becomes large?).
That being the case, it appears that simply bumping up the allowable number of iterations at least avoids the FORTRAN error. That is, I made this change:
and can then get results for larger A. For example:
So, obviously this algorithm is going to fall apart at some point. Perhaps the original submitter could give us some insight as to reasonable expectations with regard to applications.
This "error: Due to a bug in Octave" isn't quite a bug, it would seem. It's more like a limitation on numerical methods for approximating the function which perhaps we could stretch out but never totally eliminate.
(file #42546)

Hello,
I was using Dynare 4.5.3 for bayesian estimation of dsge models, previously mostly with matlab. Now I rerun my code now in Octave 4.2.1, officially stated at dynare website that comaptible with dynare 4.5.3. Unfortunately, the same code did not work, now I got the following error messages:
***MESSAGE FROM ROUTINE D9LGIT IN LIBRARY SLATEC.
***FATAL ERROR, PROG ABORTED, TRACEBACK REQUESTED
 NO CONVERGENCE IN 200 TERMS OF CONTINUED FRACTION
 ERROR NUMBER = 3
*
***END OF MESSAGE
***JOB ABORT DUE TO FATAL ERROR.
 ERROR MESSAGE SUMMARY
LIBRARY SUBROUTINE MESSAGE START NERR LEVEL COUNT
SLATEC D9LGIT NO CONVERGENCE IN 20 3 2 9
error: Due to a bug in Octave, you must choose other values for mean and/or variance of your prior on theta, or use another shape
Finally, by modifying the variance of theta parameter in the prior distribution, the code worked. But I just do not understand what makes the difference? Should I turn to Octave developers group or to Dynare? May I expect that it will change in the upcoming releases?
Thank you very much for your attention.
Best regards,
Klára Major
ps. I attach the files if you want to check it.
