Dear all,

I’m running a model, everything seems good but I receive the following message “all endogenous are constant or non stationary not displaying correlations and autocorrelations” and I don’t have theoretical moments. The purpose of my work is to obtain the historical decomposition of output, so i need help to identify the problem. Previous posts talk about unit root but I don’t know how to identify the equation or the variables concerned.

Thank for your help.

Eric Gabin

complete.txt (6.47 KB)

You have two unit roots in your model. It looks strange you have a variable P in your model. Usually prices in NK-models are non-stationary and everything has to be expressed in real terms using the inflation rate instead of the price level.

You’re right about that. I’m going to change that right now.

Dear Johannes,

I tried to follow your advise but I’m not sure in the way to proceed. I replaced the price level in the model with an equation of exogenous inflation (even if I know it’s not that simple) :

“PI(+1) = PIbar + RHOpi*(PI-PIbar) + ETA_pi”. But now one of the eigenvalues is close to 0/0.

Can you give me additional advise?

I also tried the New keynesian Philips curve " PI(+1) = RHOpi*PI + Kappa*Y"; but my Blanchard Kahn conditions are not satisfied.

I think that I solve the unit root problem; but now theoretical moments have high or NaN std and variance. Thus I have bad variance decomposition.

noroots.mod (6.62 KB)