use https://www.stata-press.com/data/r18/manufac (St. Louis Fed (FRED) manufacturing data) . constraint 1 [D.lncaputil]u = 1 . sspace (u L.u, state noconstant) (D.lncaputil u, searching for initial values ... (setting technique to bhhh) Iteration 0: Log likelihood = 1515.8693...