I was running Bayesian estimation using diffuse filter option when this warning starts coming up. Does anybody have any idea what is this warning all about?
This warning (not sure it was me who made it) is related to the fact that once Pinf is for example numerically null rank (according to the tolerance set), then the updated matrix
TP_\infty T'
should also be rank deficient. when the warning is issued, in most cases this is due just to numerical issues, but it should give the message not systematically. Otherwise, it may be an indication of lack of some issues in how the model is defined (whether unit roots are properly projected onto observables, for example)