Thank you for your fast answer prof. Pfeiffer!
You were absolutely right about my observable variables and that also settles most of the question I had in my first post. I corrected a couple of things here and there and I now obtain much better looking results. Now all my observable variables are stationnary with mean 0 and the code still runs well. I took a bit of tweaking (changed my priors for the ones used by Lubik and Schorfheide for example) but I manage to get this much more realistic grah:
I guess there is still one thing that I need to do and it’s to choose the definitive values to put in my shock block. Right now I ran the code with a standard value of 0.15 for the standard error of my shocks but as soon as I touch one everything changes in a very drastic way. Do you know where I should get the real value for those standard error? I’m not sure where to look to be able to identify (and justify) those values…
I will leave my new code and my new database right here so people who face the same problem can see what corrections I brought.
StationnaryData.xlsx (45.1 KB)
lubikdecomp.txt (2.7 KB)
Once again I hope you have a great day!
Alexis