From oo_.dr.eigval, it seems that there is a unit root in my model. However, Dynare still gives me theoretical moments. I am wondering whether it’s fine as long as theoretical moments can be generated. If it is problematic, I’d like to know how I can find out which enogenouse variable is non-stationary from the order of oo_.dr.eigval. What does the order of oo_.dr.eigval correspond to?
I insert my code as follows. I’ll really appreciate it if you can provide me any clue. Thank you.
Anita
[code]var a y c ca cn cstar h ha hn gs qs s g wr rf r rstar rr rrf pih pistar brhat drhat ndrhat tr tra tbhat;
varexo nua nug nucstar nupistar nurstar;
parameters N Y WR TBhat lambda alpha eta alphastar varphi rho beta chi phi epsilon theta psigg psigd psitg psitd byhat dyhat cy gy cstary tr_y rfs rs rstars rhoa rhocstar rhopistar rhorstar;
lambda=1/3;
alpha=0.2;
eta=2/3;
alphastar=0.2;
varphi=1;
rho=1;
beta=0.98;
chi=0;
phi=1.5;
epsilon=21;
theta=75;
psigg=0.9;
psigd=-0.02;
psitg=0.5;
psitd=0.02;
rfs=1/beta;
rs=1/beta;
rstars=1/beta;
N=1;
Y=1;
WR=(epsilon-1)/epsilon;
byhat=1;
dyhat=1;
cy=WR^(1/rho);
gy=1-lambda*WR-(1-lambda)cy;
TBhat=1;
cstary=(alphacy)/alphastar;
tr_y=gy;
rhoa=0.85;
rhocstar=0.8;
rhopistar=0.75;
rhorstar=0.9;
model(linear);
y = a+h;
y = ((1-alpha)cy(c+etags))+(gyg)+(alphastarcstary(eta*(qs+gs)+cstar));
wr = varphiha+rhoca;
wr = varphihn+rhocn;
r = pih(+1)+rho*(ca(+1)-ca)-(gs-gs(+1));
rfsrf = (rfs+chi(1-lambda)(dyhat-1/Y))(rho*(ca(+1)-ca)-qs(+1)+qs+pistar(+1))-chi*(1-lambda)(dyhat(drhat-y)+y/Y);
rfsrf = rstarsrstar+chi*(byhat*(brhat-y)+(1-lambda)dyhat(drhat-y)+(2-lambda)y/Y);
r = phipih/rs;
pih = betapih(+1)+(epsilon-1)N(wr+gs-a)/theta;
tr_ytr+byhatbrhat = gy(g-gs)+rfsbyhatbrhat(-1);
TBhattbhat = y-cy(c+gs)-gyg;
g = psiggg(-1)+psigdrfsbyhatbrhat(-1)/gy+nug;
tr_ytr = gypsitg(g-gs)+psitdbyhatrfsbrhat(-1);
cyca+dyhat*(rfsdrhat(-1)-drhat)+(dyhat-(1/Y))rfs(rf(-1)+qs-qs(-1)-pistar) = (y-gs-lambdaWR*(wr+hn)-tr_ytra)/(1-lambda);
cycn = WR*(wr+hn);
c = (1-lambda)ca+lambdacn;
h = (1-lambda)ha+lambdahn;
tr = tra;
a = rhoaa(-1)+nua;
cstar = rhocstarcstar(-1)+nucstar;
pistar = rhopistarpistar(-1)+nupistar;
rstar = rhorstarrstar(-1)+nurstar;
rr = r+(gs-gs(+1)-pih(+1));
rrf = rf+(qs(+1)-qs-pistar(+1));
gs = alpha*s;
qs = (1-alphastar)*s-gs;
ndrhat = brhat+(1-lambda)*drhat;
end;
steady;
resid(1);
check;
shocks;
var nua;
stderr 0.007;
var nug;
stderr 0.008;
var nucstar;
stderr 0.007;
var nupistar;
stderr 0.007;
var nurstar;
stderr 0.008;
end;
stoch_simul(irf=40,periods=2100);[/code]