I have set up one model which cannot be run by Dynare. It tells me that my endogenous variables are non-stationary. However, in my model all the autoregressive coefficients are less than one. Also, dfuller test points out that all the observable variables in my data are stationary. After adding the option “diffuse_fitler” in the estimate command, my model can be estimated successfully but I cannot see the unconditional variance decomposition.
I have transformed my model into the log-linearization form to avoid setting the initial value. This is the first time for me to do research in dynamic macroeconomics, so your guidance is really helpful to me. Thank you very much!