unit_root_vars

unit_root_vars — declares unit-root variables for estimation

Synopsis

unit_root_vars VARIABLE_NAME [ VARIABLE_NAME ...] ;

Description

unit_root_vars is 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, 2003).

When unit_root_vars is used the lik_init option of estimation has no effect.