Defining unit root variables in estimation

[haroun]

Dear all,

I try to estimate a small open economy model by using Bayesian technique. My model does not have any unit root shock but the price level and the level of nominal exchange rate are included in the model. As you all know, after a shock, these nominal varibles shift to a new level, showing unit root behaviour. I wonder whether I should introduce "unit_root_vars" line for these nominal variables in the estimation.

Thank you very much in advance.