About Hodrick-Prescott filter and Unit Root test
Posted: Thu Aug 19, 2010 8:57 pm
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 automatic selection of lag length mode but does not in user specified mode.
Any help will be highly appreciated.
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 automatic selection of lag length mode but does not in user specified mode.
Any help will be highly appreciated.