I have learned a lot from this website thanks to Professor Jpfeifer. Now I have a new problem:

My estimation code has the following error:

*initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.*

*initial_estimation_checks:: This is often a sign of stochastic singularity, but can also sometimes happen by chance*

*initial_estimation_checks:: for a particular combination of parameters and data realizations.*

*initial_estimation_checks:: If you think the latter is the case, you should try with different initial values for the estimated parameters.*

Through my attempts, I found that any selection of four observation variables code can run normally, once more than four will report an error

I checked, and it seemed to me that there was no exact linear relationship between the observed variables

I’m very upset and I don’t know what the problem is

data0920.mat (7.6 KB)

est.mod (21.4 KB)

In addition, when I select four observation variables to run the code, the mode check plot seems to have problems. I upload the picture. The plots corresponding to the shock variance and persistence parameter seems to have problems, but I don’t know what the problem is.

modecheckplots1.fig (2.8 MB)

modecheckplots2.fig (2.8 MB)

modecheckplots3.fig (598.9 KB)

I am very sorry that I have a lot of questions, and English is not my native language