I get the following message (many times) during Bayesian estimation of a simple multivariate UC model (which is an extended version of Harvey (1985) and Clark (1987)):

univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!

Missing values at the beginning seem to be no problem here (as pointed out in this discussion).

Any ideas on how to get Dynare to use the multivariate filter? Or does anyone have experience in reformulating the problem to a univariate treatment as Durbin & Koopman (2012, p. 125) suggest?

Thanks. I have seen the discussion you are referring to before but the second link helped. It was about the timing of the cyclical and trend component and when I correct for this, the warning vanishes.