Covariance matrix is singular or near-singular. Standard errors may be unstable

[D. K]

Hello

I’ve run a state space VARMAX (AR(1)) model, and while it converged, I got two warnings at the end.

[1] Covariance matrix calculated using the outer product of gradients (complex-step). 

[2] Covariance matrix is singular or near-singular, with condition number 9.69e+20. Standard errors may be unstable.

Should I worry about each of those, especially number 2?

David