Near singular matrix

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kzmh78
Posts: 7
Joined: Mon Nov 08, 2010 9:27 am

Near singular matrix

Postby kzmh78 » 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?
Attachments
testvar.wf1
(11.61 KiB) Downloaded 314 times

startz
Non-normality and collinearity are NOT problems!
Posts: 2961
Joined: Wed Sep 17, 2008 2:25 pm

Re: Near singular matrix

Postby startz » 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.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 10692
Joined: Tue Sep 16, 2008 5:38 pm

Re: Near singular matrix

Postby EViews Gareth » 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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kzmh78
Posts: 7
Joined: Mon Nov 08, 2010 9:27 am

Re: Near singular matrix

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

Hi

Thank you very much for useful reply.


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