Thanks a lot Michel for taking the time to answer,

In order to calculate the moments of the non-stationary model ex-post, I would have to do the folowing (for any non-stationary variable):

var(y)=E((ybar*z)^2)-(E(ybar*z))^2

were ybar=y/z is the stationary counterpart of the non-stationary variable y and z is the non stionary stochastic shock

The second term of the right hand side of this equation can be deduced using dynare but I don't have a way to compute the first term. Do you have any suggestions?

Sincerely,

Luis

MichelJuillard wrote:Dear Luis,

in short, you must stationarize your model before linearizing and solving it.

Because your model is nonstationary, it can wander very far from the point around which you would linearize it and the linear approximation could be very bad. So it is much better to stationarize first and linearize second.

Furthermore, you wouldn't learn much directly from a nonstationary model. Its second moments of the nonstationary variables are infinite and, if there is a deterministic trend in your model, there is no constant mean either.

With Dynare, the best strategy is to solve the stationarized model with stoch_simul, simulate the stationary variables and reconstruct ex-post the nonstationary simulated variables.

Best

Michel