Near singular matrix

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Near singular matrix

Postby kzmh78 on Mon Nov 14, 2011 8:58 am

Hi !

When we estimated a VAR(2) model, we got a result of estimation.

But, When we individually estimated the each equation.
Then, error message 'Near singular matrix error.Regressors may be perfectly collinear' was displayed.

Is this Bug?
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testvar.wf1
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Re: Near singular matrix

Postby startz on Mon Nov 14, 2011 9:36 am

Your data is perfectly multicollinear. Note the R^2 of 1.0 in the VAR. EViews just didn't catch it in the VAR most likely because computer arithmetic is imperfect.
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Re: Near singular matrix

Postby EViews Gareth on Mon Nov 14, 2011 9:50 am

It looks as though X = 10 + 0.99*X(-1) exactly (or as close to exact as a computer gets).
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Re: Near singular matrix

Postby kzmh78 on Tue Nov 15, 2011 5:04 am

Hi

Thank you very much for useful reply.
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