SSPACE Near_Singular

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.

Moderators: EViews Gareth, EViews Moderator

osindi
Posts: 12
Joined: Thu Mar 05, 2015 4:44 am

SSPACE Near_Singular

Postby osindi » Tue Oct 24, 2017 5:49 am

Hello,

I'm trying to specify a statespace model and estimate it.
However, it keeps saying that the matrix is near singular.

I'm only using two variables (P in the signal equation which is based on nairu, which is in turn based on the @state equation).

Any guidance would be appreciated

Using Eviews 9.5

Thanks,
Attachments
ss_eg.wf1
(12.09 KiB) Downloaded 11 times

EViews Matt
EViews Developer
Posts: 161
Joined: Thu Apr 25, 2013 7:48 pm

Re: SSPACE Near_Singular

Postby EViews Matt » Wed Oct 25, 2017 8:47 am

Hello,

It looks like the initial conditions of the estimation happen to produce a singular matrix. Try initializing your coefficients to something other than 0.

osindi
Posts: 12
Joined: Thu Mar 05, 2015 4:44 am

Re: SSPACE Near_Singular

Postby osindi » Wed Oct 25, 2017 3:34 pm

Hi Matt,

Thanks for the suggestion. Unfortunately even after setting the initial conditions for the state space to nairu0 = 4.5, and nairusd0 = 1 i still get a near singular matrix without much else being said.

It's possible i've not set up the specification correctly, as i'm not sure what else is wrong here.

Any advice would be appreciated,

Thanks
Attachments
ss_eg.wf1
(12.6 KiB) Downloaded 8 times

EViews Matt
EViews Developer
Posts: 161
Joined: Thu Apr 25, 2013 7:48 pm

Re: SSPACE Near_Singular

Postby EViews Matt » Wed Oct 25, 2017 4:22 pm

Did you try setting the 'c' coefficients so something non-zero as well?

osindi
Posts: 12
Joined: Thu Mar 05, 2015 4:44 am

Re: SSPACE Near_Singular

Postby osindi » Thu Oct 26, 2017 12:53 am

I only realised after i posted that you meant initialise the parameters, and not the state variable.

That's working now, thanks!


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 5 guests