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?