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)