I have several exogenous processes in my model.
In my steady state, I set the values of these processes to their long-run mean specified in the AR process.
When the autocorrelation parameter is set to zero, everything runs fine and steady state residual is zero. But when I change the autocorrelation parameter to a positive number, I get the error that the steady state is not found.
See file attached.
You only uploaded the log-file, not the mod-file.
With your specification for the AR process:
x_t=\bar x + \rho x_{t-1}+\varepsilon_t
you have in steady state:
x=\bar x + \rho x\Rightarrow x=\frac{\bar x}{1-\rho}, which will only be equal to \bar x for \bar x=0.
Specify your process as
x_t=(1-\rho)\bar x + \rho x_{t-1}+\varepsilon_t
and the steady state will indeed by \bar x.
Of course. That was a blunder from me. Thanks a lot.