Thanks Prof. Pfeifer. Could you give me more hints on why different forms of UIP can lead to different B&K conditions? I’ve looked through this post, and find if I change the UIP from the first form to the second form, the code posted is able to run, while with the first from, the B&K conditions are not satisfied. https://forum.dynare.org/t/soe-risk-premium-and-unit-root/16971