Re: [Gretl-users] matrix no positive definite
On Wed, 30 May 2012, mastro2387(a)tiscali.it wrote:
I have a problem with running a VAR: i selected three
endogenous variables and one dummy as exogenous, 8 lags
chosen by lag selection option, with constant, trend and
robust error options selected, but gretl is saying to me
matrix is no positive definite: how can I sort this issue
out?
That message means that your set of regressors is close to
perfect collinearity -- not so close that OLS estimates cannot
be obtained, but close enough that computation of robust
standard errors fails. The error message could be improved.
Allin Cottrell