Re: [Gretl-users] Error output of the switching algorithm
On Mon, 16 Jul 2012, artur tarassow wrote:
I am trying to estimate a few restricted VECMs, but the estimation
does
fail quite often using the default switching algorithm. Actually, I just
would like to know to what exactly does the following error message refer
to:
"Switching algorithm: failed
Exact or near collinearity encountered"
I could not find any hints in the C-sources. Are the restrictions collinear
or is it the high correlation between variables?
There's a huge amount of matrix computation, including lots of
inversions, in the switching algorithm. Somewhere along the line
some matrix can't be inverted; and the message you're getting means
that the error code, presumably from a function in gretl_matrix.c,
was E_SINGULAR. Without putting in a lot of debugging statements I
can't say exactly which matrix/function-call combination is
generating the error.
Allin Cottrell