It only works with the diffuse_filter option

Estimation
1

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.

Thank you.

example.mod (8.1 KB)mod_and_data.zip (47.7 KB)

2

You have the same issue as at the bottom of Residuals of the static equation