How to detect unit roots?


I am working with a 2-country model with complete asset markets and full risk-sharing. Dynare tells me the model has 3 unit roots. However, when I plot IRFs they all return to zero within 40-50 periods (I have persistent shocks), and when I simulate the model for as much as 100,000 periods, all variables remain stationary. I am wondering how I can “detect” which variables give rise to the unit roots, so that I can eventually solve the problem. Any hints? Thanks in advance.

Try requesting theoretical moments and check whether Dynare displays NaN for the moments of some endogenous variables.

Thanks for your response. I have tried that already, and all the theoretical moments are well-defined, i.e. none of them are NaN.

Please provide the file