Why the covariance matrix is not stored using the n4sid function?

I am performing subspace system identification using the function n4sid which returns a idss model. How ever I always get the following warning, no matter the order of the model I use:

    Warning: Covariance matrix estimate unreliable. Not stored.

Now I need the covariance matrix of the model because next I have to use the merge function. Can anybody explain why?

Thanks a lot.