Can Dynare estimate this SSM model?

[jpfeifer]

@rrremedio Usually Dynare can handle this. e.g.

Unit root variables

Hi, pure non-stationary models have an infinity of steady states; non-stationary models with drift have none. In Dynare, this creates a problem if you have a non-linear model where you need to compute a local approximation. In this case, you cannot endogenously compute the steady state, because there are many of them. You need to provide the steady state. If your model is already linear, there should be no such problem, because the default initial value of 0 already is the steady state. A si…

and

A nonstationary model for output gap with a const in drift

The problem is that Dynare tries to approximate around the steady state, which does not exist if there is a drift. But as the model is already linear, the approximation point does not really matter. For that reason, you cannot use an initval block, which gives just the starting values for the steady state finding. Rather, you need to provide a “steady state” via the steady_state_model block and make sure that the correctness of the “steady state” is not checked via the nocheck option. The diff…

But as a user, you need to know what you are doing.