Dynare EstimationThe forecast error variance in the multivariate Kalman filter became singular

[jpfeifer]

The model implies an exact linear combination between these three variables. That will not work. See e.g.

Issue with the Kalman filter

The problem is known as “stochastic singularity”, which happens if a linearized model implies an exact linear combination between observables. That in turn means that the density of observing that variables is either 1 (the exact linear combination in the model holds in the data; rarely the case) or 0 (the exact linear combination does not hold; the typical case). As you can imagine with a log density of minus infinity, estimation will not work. You have in your model exp(y_tilde) = exp(k_tild…