Singular VAR
Posted: Mon Oct 07, 2013 3:08 pm
Hi,
I'm working with data that have been proved to be correlated previously many times in literature.
I'm running a VAR with some sort of money demand, inflation, interest rate and exchange rate.
I think I'm getting a singular system as the residual covariance matrix is around 3.4e-19 (which is something like 0 I guess).
Anybody have any idea how to fit this system better? or do you think maybe there's something wrong with my data?
Any suggestions on how I can get proper results?
thank you
I'm working with data that have been proved to be correlated previously many times in literature.
I'm running a VAR with some sort of money demand, inflation, interest rate and exchange rate.
I think I'm getting a singular system as the residual covariance matrix is around 3.4e-19 (which is something like 0 I guess).
Anybody have any idea how to fit this system better? or do you think maybe there's something wrong with my data?
Any suggestions on how I can get proper results?
thank you