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Then why it breaks out the code after 1100 replications, when normally it should perform 3657 replications. However, I've noticed that the break it varies if I change either number of variables or size of rolling window. Any support is more than welcome!

Dear Gareth, I'm using similar code but for a larger sample (4157 observations, 8 variables) and smaller rolling window (500). Unfortunately the program does not run till the end of the sample, it turns "near singular matrix" error after 1100 replications. Do I have to define the matrix in...