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

[jpfeifer]

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

Univariate diffuse kalman filter: T does influence the rank of Pinf!

This warning (not sure it was me who made it) is related to the fact that once Pinf is for example numerically null rank (according to the tolerance set), then the updated matrix TP_\infty T' should also be rank deficient. when the warning is issued, in most cases this is due just to numerical issues, but it should give the message not systematically. Otherwise, it may be an indication of lack of some issues in how the model is defined (whether unit roots are properly projected onto observabl…

So that may not necessarily be a problem.

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

tests/kalman_filter_smoother/test_compute_Pinf_Pstar.mod · master · Dynare /...