I am estimating a model and receiving the following message:
“DiffuseLiklihood3 :: T does influence the rank of Pinf!”
This occurs during the optimization routine (I think) when evaluating the likelihood function.
Is there something obvious that might explain why this error occurs?
I am using bayesian estimation for a model with non-stationary processes (so specified in the options_.unit_root_vars), though I am not using the bvar-dsge framework. I have not specified observations_trends – Is this required for the unit-root processes?
Thanks in advance.