Hi, my program only works with the diffuse_filter option, which is because of the unit-root.
When I run the program, I encounter with the following warning message.
Warning: kalman_filter_d: There
isn’t enough information to
estimate the initial conditions of
the nonstationary variables. The
diffuse Kalman filter never left
the diffuse stage.
After all, estimation is done but I am not sure whether the results are credible.
Please give me valuable comments.