Estimation of an Unobserved Components Model using the Multivariate Diffuse Kalman Filter

Dear all,

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?

The code attached.
problem.zip (2.7 KB)

I am not sure I understand your problem. Regarding your warning, see


So that may not necessarily be a problem.

In terms of setting up the problem, did you have a look at

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.