# Issue with the Kalman filter

**URL:** https://forum.dynare.org/t/issue-with-the-kalman-filter/18627
**Category:** Estimation
**Created:** [1 August 2021 19:57 UTC](https://forum.dynare.org/t/issue-with-the-kalman-filter/18627 "2021-08-01T19:57:58Z")
**Posts on this page:** 1
**Showing post:** 2

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### Author: ![jpfeifer](https://forum.dynare.org/user_avatar/forum.dynare.org/jpfeifer/32/5044_2.png) [@jpfeifer](https://forum.dynare.org/u/jpfeifer)
#### Post date: [2 August 2021 07:17 UTC](https://forum.dynare.org/t/issue-with-the-kalman-filter/18627/2 "2021-08-02T07:17:32Z")

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The problem is known as “stochastic singularity”, which happens if a linearized model implies an exact linear combination between observables. That in turn means that the density of observing that variables is either 1 (the exact linear combination in the model holds in the data; rarely the case) or 0 (the exact linear combination does not hold; the typical case). As you can imagine with a log density of minus infinity, estimation will not work.

You have in your model

```auto
exp(y_tilde) = exp(k_tilde)^(alph);

```

But you observe `k` and `y`. That’s where the problem comes from. The model says that the ratio of `y` and `k` is a constant \alpha. Plotting the ratio shows that this is not the case in the data:

![image](https://forum.dynare.org/uploads/default/original/2X/b/b1e55587263731c63348506919fafe9cebb7c0e6.png)

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