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- Thu Aug 19, 2010 8:57 pm
- Forum: Data Manipulation
- Topic: About Hodrick-Prescott filter and Unit Root test
- Replies: 0
- Views: 3038
About Hodrick-Prescott filter and Unit Root test
Hi there: Does anyone have the same problem when performing unit root test on a series smoothed by the Hodrick-Prescott filter? The result shows the near singular matrix message when performing unit root test (ADF or ERS) on that smoothed series. It obtains the near singular matrix message in automa...