I have trying to follow the procedure of Farmer, Khramov and Nicolo (forthcoming JEDC) for estimating an indeterminate model in DYNARE by redefining a non-fundamental error as a newly defined fundamental. The model I am trying to replicate is the small scale New Keynesian model in Lubic and Schorfeide (2004, AER). Since the likelihood function is discontinuous at the boundary of the determinacy-indeterminacy region, they conduct the computations for the two regions of the parameter space separately. I believe what they do is draw from the posterior and then check whether the parameter draw comes from a determinacy region or indeterminacy region and then decide whether to keep that draw or not depending on whether their focus is on the determinate region or the indeterminate region.
I am currently stuck in doing so in DYNARE. Is there any way to implement the above procedure in DYNARE while estimating the Lubic and Schorfeide (2004) small scale NK model.
Your response will be highly appreciated.
Thanking in advance.