Detecting "Near singular matrix" before OLS regression

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

Detecting "Near singular matrix" before OLS regression

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


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.

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

Re: Detecting "Near singular matrix" before OLS regression

Postby EViews Gareth on 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.
Follow us on Twitter @IHSEViews
EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 10278
Joined: Tue Sep 16, 2008 5:38 pm

Return to Estimation

Who is online

Users browsing this forum: No registered users and 4 guests