It only works with the diffuse_filter option

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) (47.7 KB)

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