unit_root_vars — declares unit-root variables for estimation
unit_root_vars
VARIABLE_NAME
[[,]
VARIABLE_NAME
...] ;
unit_root_vars is now deprecated and will result in no action, It was used to declare unit-root variables of a model so that a diffuse prior can be used in the initialization of the Kalman filter for these variables only. For stationary variables, the unconditional covariance matrix of these variables is used for initialization. The algorithm to compute a true diffuse prior is taken from Durbin and Koopman (2001) and Koopman and Durbin (2003).
When unit_root_vars is used the lik_init option of estimation has no effect.
When there are nonstationary variables in a model, there is no unique deterministic steady state. The user must supply a MATLAB® function that computes the steady state values of the stationary variables in the model and returns dummy values for the nonstationary ones. The function should be called with the name of the .mod
file followed by _steadystate
. See fs2000a_steadystate.m
in examples/fs2000
directory.
Note that the nonstationary variables in the model must be integrated processes(their first difference or k-difference must be stationary).