Dear all,
As estimation result of an AR coefficient, I get a posterior with mean 1 and zero confidence interval. This implies that also the mode must have been 1. But then, how di Dynare solve the model?
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Estimated AR coefficient equal to one
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Estimated AR coefficient equal to one
by ilobayesian » Tue Feb 18, 2014 3:37 pm
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Re: Estimated AR coefficient equal to one
by jpfeifer » Sat Mar 08, 2014 11:41 am
First of all, there must be something wrong here with your model.
Second, the Blanchard-Kahn conditions allow for unit roots as does the Kalman filter. The conditional variance still exists. So, there is no particular problem.
Second, the Blanchard-Kahn conditions allow for unit roots as does the Kalman filter. The conditional variance still exists. So, there is no particular problem.
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