NaN in Theoretical Moments in open economy model

Stochastic simulations
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executive.m (4.0 KB) baseline_noZLB.mod (18.2 KB)

Hi sir or madam:

I am working on a two country DSGE model. The model works pretty well. However, when i want to use theoretical moments to show some results, some variables has NaN in theoretical moments. I am wondering why? I saw some previous messages about existence of unit root. So may i know how to check it and there might be the problem come from?

Thanks!

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Simply generate IRFs for a very long period of time (e.g. 500 periods). If the IRFs do not return to steady state for all shocks for a variable, there is a unit root.

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Thanks professor Pfeifer:

Thanks for your explanation! And yeah I found there’s units root in few variables. Is it a big problem for the model? Since the model actually runs pretty well. And is there any model to eliminate unit root in the model?

Thanks!

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That depends. There are models where unit roots are an economic feature of the model. But in most models, it is rather unexpected and simply suggests a mistake somewhere in the model.