Thank you very much for taking a look at this. Please find the data and mod files attached.
mymod.mod (16.0 KB)
estdata.xlsx (15.2 KB)
I did not explicitly specify for the univariate filter to be used, but my understanding is that it switches to the univariate filter if there are issues with the precision in VCV matrices.
Following the discussion in here, I may not be following some Dynare convention with correctly lagging variables in the UCM model.