unit_root_vars — declares unit-root variables for estimation
unit_root_vars
VARIABLE_NAME
[[,]
VARIABLE_NAME
...] ;
unit_root_vars is used to declare a list of unit-root endogenous variables of a model so that dynare won't check the steady state levels (defined in the steadystate file) file for these variables. The information given by this command is no more used for the initialization of the diffuse kalman filter (as described in 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).