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Thanks, it worked with less observations.

I found that the problem is the maximum lag length to consider when performing automatic lag length selection. If I set it on '0', there is no problem; if it is higher, I get the message. Here is the code. Thanks 'Workfile new workfile ejercicios q 1951:01 2000:04 'White noise series e=nrnd 'TS-simu...

Hi,

I simulate an AR(1) time series with coefficient "1.2". Then when I run the Dickey Fuller test, I get "Near singular matrix" message. I suppose that it has to be with Ho (coefficient=0) and H1 (coefficient < 1), but I can't explain it.

Thanks in advance