Detecting "Near singular matrix" before OLS regression

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ev_qq2010
Posts: 1
Joined: Fri Mar 04, 2011 3:26 pm

Detecting "Near singular matrix" before OLS regression

Postby ev_qq2010 » Fri Mar 04, 2011 3:47 pm

Hi,

I am trying to estimate a linear equation y = X b + e by OLS over different sample periods.

For a certain sample period, EViews 7 reported error "Near singular matrix error. Regressors may be perfectly collinear."

I would like to skip the problematic sample and avoid the near singular matrix error. Is there a way to automatically do that?

(I have tried to pre-test the X matrix using @rank(X) (with default tolerance), but X is of full rank even when EViews reports the error.)

Thanks a lot for your help.

JF

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Detecting "Near singular matrix" before OLS regression

Postby EViews Gareth » Fri Mar 04, 2011 3:48 pm

In general, no.

I assume you're doing this in a program. You might be better off detecting and handling the error message post estimation.
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