I am trying to do Markov switching regression, but every time I set my initial regime probabilities to ‘estimated’, I get a warning in my output saying: “Singular covariance – coefficients are not unique”. When I set them to ‘ergodic’, there’s no problem. I am estimating an equation of the following form: y c x1 x2 y(-1) with regime specific error variances. The rest of the settings are kept at their default values. Does somebody have an idea what might be the issue? (I’m using eviews 9 btw). Thanks in advance!
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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