Near singular matrix - D-F

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Facundo
Posts: 3
Joined: Tue Nov 13, 2018 7:46 am

Near singular matrix - D-F

Postby Facundo » Tue Nov 13, 2018 5:13 pm

Hi,

I simulate an AR(1) time series with coefficient "1.2". Then when I run the Dickey Fuller test, I get "Near singular matrix" message. I suppose that it has to be with Ho (coefficient=0) and H1 (coefficient < 1), but I can't explain it.

Thanks in advance

startz
Non-normality and collinearity are NOT problems!
Posts: 3400
Joined: Wed Sep 17, 2008 2:25 pm

Re: Near singular matrix - D-F

Postby startz » Tue Nov 13, 2018 8:03 pm

You might want to post your workfile and exact commands.

Facundo
Posts: 3
Joined: Tue Nov 13, 2018 7:46 am

Re: Near singular matrix - D-F

Postby Facundo » Tue Nov 13, 2018 8:43 pm

I found that the problem is the maximum lag length to consider when performing automatic lag length selection. If I set it on '0', there is no problem; if it is higher, I get the message.
Here is the code. Thanks

Code: Select all

'Workfile
new workfile ejercicios q 1951:01 2000:04

'White noise
series e=nrnd

'TS-simulation
smpl 1951:01 1951:01
series y1=0
smpl 1951:02 1951:02
smpl 1951:02 @last
series y1= 2*y1(-1) + e
smpl @all

'Unit Root Test - ADF
y1.uroot(adf, const, trend, maxlag=0) 'maxlag=0, OK
y1.uroot(adf, const, trend, maxlag=1) 'maxlag=0, near singular matrix

startz
Non-normality and collinearity are NOT problems!
Posts: 3400
Joined: Wed Sep 17, 2008 2:25 pm

Re: Near singular matrix - D-F

Postby startz » Tue Nov 13, 2018 9:15 pm

I believe you're getting numerical problems. Note that the final values of y1 are around 10^60

Facundo
Posts: 3
Joined: Tue Nov 13, 2018 7:46 am

Re: Near singular matrix - D-F

Postby Facundo » Wed Nov 14, 2018 6:09 am

Thanks, it worked with less observations.


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