Bayesian estimation with unit root


I have a system of equations that contains a unit root (not a DSGE model). I have included intercepts to account for drift. The model check indicates that the steady state is not defined and estimation fails. When I block out the intercepts, the estimation proceeds. Alternatively, when I do not block out the intercepts but change the AR coefficient from 1 to 0.999, the estimation also proceeds. Would you know if this is a Dynare issue or if the system is not suitable for estimation in Dynare?

Please have a look at

Thanks. Seems to be working now.

Hello. Could I ask another question not related to unit root? Say I have a constraint where for example a1+a2/a3=1. (1) Is it correct in model specification to set #a1=1-a2/a3, and estimate a2 and a3? (2) if this is correct, how can I get mean, median and other statistics for a1?

You can use a posterior_function, see examples/Gali_2015.mod · master · Dynare / dynare · GitLab