NaN theoretical moments and unit roots

Stochastic simulations
1

Hello,

I know that unit roots variables have no finite first and second order moments and thus that unit roots in a model can obviously lead some theoretical moments to be non available. However, can the presence of only 1 or 2 unit roots in one model lead all theoretical moments of all variables in the model to be infinite (except the stochastic shocks) ?

This is a general question so I apologize not to provide a .mod file.

Many thanks !

2

If the unit root causes all variables to be non-stationary, the answer is yes. More generally, however, the problem appears when you use simulated moments at higher order without pruning. In this case explosive simulations will show up as NaN moments.