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All you have to do is set the initial parameter (use @param, as in the manual). I used the OLS estimates as initial parameters.

In case somebody is also facing a similar problem, it turns out that stating initial values does help solving the problem.

I share his question... In fact, Eviews offers the option of a unit shock to the residuals, but not factorized. General Impulse Responses, or Choleski decompositions, are only available for a standard error shock, not for a unit shock. Any suggestion on how to tackle this issue?

Take a look at Andrew Harvey's (1989) book on the Kalman Filter for a very nice discussion of the estimation procedure.

Hello, I'm estimating a SSpace model using E-views and sometimes I get the Warning note of singular covariance - coefficients are not unique. However, my interest in the model is solely to generate the state series, and not to get the coefficients; and the state series seems okay to me. I estimated ...