Zero variance decomposition

I modified the model proposed by Justiniano and Preston (2010) and have been trying to estimate the new model.
Actually, I wanted to do with mode_compute=4 but it was hard to find the initial posterior mode.
So, I use mode_compute=6.

Eventually, estimation was done. However, results of posterior variance decomposition is strange.
Mostly, they are zero…

I hope to have possible reasons for this.
I attached my mod file and data.
data_neer_jp.mod (49.9 KB)
fx_est_post_z.mod (8.51 KB)

Please upload everything including your mode-file as a zip-file

I uploaded zip file which includes the mod file and data.

Thank you (47.2 KB)

You still did not provide your _mode.mat-file

I uploaded the mode file as well (60.1 KB)

The mode-file does not match the mod-file:

The posterior mode file fx_est_post_z_mode has been generated using another specification of the model or another model! --> Estimated parameter eps_gg is not present in the loaded mode file. --> Estimated parameter rho_gg is not present in the loaded mode file.

Sorry, I uploaded data, program (.mod) and mode file (_mode.mat).
Also, I uploaded the result (*.mat) in whch fevd mean of most variables are zero.

I think there might be a stationary issue. But in my opinion it has to be with some variables only
such as z, e, p, pf, ph. Not c or y. (77.1 KB)

I can confirm that the problem relates to nonstationary variables. For those variables, we are displaying 0 for all shocks, which is incorrect and should be NaN. We will fix this.

I am wondering if you let me know which variable or part of the model incurs stationary problems.
In fact, c (consumption), pi (inflation) and y (domestic output) are definitely stationary.

My guess is that

// (7) Terms of Trade s = pf - ph ;
causes this, because you have two non-stationary variables on the RHS and from there is spills over to the real side of the model.