Near Singular Matrix Error when performing zivot-andrews test

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albertozzio
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Near Singular Matrix Error when performing zivot-andrews test

Postby albertozzio » Tue Dec 06, 2016 10:12 am

Hi! Can anybody explain me why when I perform a Zivot-Andrews Unit root test I get a message "Near singular matrix error. Regressors may be perfectly collinear" ?

I have 8 or 9 time-series representing the price of natural gas in different countries at different periods of time. The weird thing is that it only appears when performing the aforementioned test on two series (p_austria and p_slovenia).
It's really important to understand why is there this problem since I need the study for my dissertation! P.S. I am using Eviews 9.

Here I attach the wf1:

Thanks!
database.wf1
(84.88 KiB) Downloaded 25 times

EViews Glenn
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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby EViews Glenn » Tue Dec 06, 2016 2:26 pm

Since you have EViews 9, is there a reason that you are not using the built-in unit root breakpoint tests?

albertozzio
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Joined: Tue Dec 06, 2016 9:19 am

Re: Near Singular Matrix Error when performing zivot-andrews test

Postby albertozzio » Wed Dec 07, 2016 4:16 am

Hi Eviews Glenn!

Thanks for your reply. I am using Zivot Andrews unit root test because I wanna test H0: unit root hyp. + structural change hyp. Basically I am replicating a paper by Renou-Maissant, in which they use this technique.

Which other "built-in" unit root breakpoint testing do you suggest me?

Thanks a lot,

Alberto

EViews Gareth
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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby EViews Gareth » Wed Dec 07, 2016 7:38 am

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albertozzio
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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby albertozzio » Wed Dec 07, 2016 9:08 am

Hi Gareth,
thanks for your message. These tests are different because Zivot - Andrews uses the dummies to account for structural break and for my thesis I need to use it then.
Do you have any clue about why is it possible to me to perform Zivot-Andrews on some series and not on some else? I mean the model it implements is the same one (with dummies to account for intercept and for trend change), and the data about different countries are over the same period of time.
How can I explain that then?

Bests,

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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby EViews Gareth » Wed Dec 07, 2016 10:55 am

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albertozzio
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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby albertozzio » Wed Dec 07, 2016 10:58 am

Who could I ask for then? should I move to another area in the Eviews User Forum?

Thanks

EViews Glenn
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Re: Near Singular Matrix Error when performing zivot-andrews test

Postby EViews Glenn » Wed Dec 07, 2016 1:44 pm

I'm not familiar with the paper that you cite, but as Gareth indicated, the options that Zivot-Andrews employ in their paper can be specified in the built-in breakpoint unit root test. For example, the results in Perron (1997), can be replicated in EViews (as in our documentation). See Vogelsang and Perron (1998) International Economic Review, for a nice summary of the specifications. Once you decide your intercept/trend spec and the breaking spec, then it's straightforward to specify the t-test lag selection and minimize t-statistic form of the ZA test.


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