Hello,

I was reading some an old post about unit root variables in Dynare and the obsolete “unit_root_vars” command as well as the diffuse_filter.

github.com/DynareTeam/dynare/issues/573

Has dynare been updated at all over the last few years to deal with simulating models where one or more variables may be nonstationary? I have a model in growth rates (which are stationary) that includes some cointegrating relationships where the level variables are not stationary. I am able to simulate the model in AIM, but I am trying to convert everything to Dynare and it does not like the fact that there is not a steady state given the trending level variables (e.g. the log level of GDP). AIM is able to deal with the unit root processes, but I cannot figure out how to get the exact same model and model parameters to work with Dynare.

A very simplified example highlighting the issue is as follows:

gc = f(gc(-1), C(-1), Y(-1), W(-1), r, …)

C = C(-1) + gc +eps_c

…and so on

where f(*) is a generic function command, gc is consumption growth, C is the log-level of consumption, Y is the log level of income, W is the log level of wealth, and r is the interest rate.