9Just some comments on the mathematics underlying this problem.  The OLS X'X (or its equivalent) is symmetric and positive definite.  Therefore its inverse is also symmetric and positive definite.  If the variance of one of your estimated coefficients is zero the inverse can not be positive definite.   Even if that variance is very close to zero you probably will encounter numerical instability.  In either case, I would think that you should consider the theory underlying the equation that you are estimating.   the F-value in Artur's last email indicates either a considerable degree of multicollinearity between the dependent variable and one or more of the independent variables and is thus valuable information or some other problem in the implementation of the iterative process. 
 

John C Frain
3 Aranleigh Park


On Mon, 1 Feb 2021 at 08:09, Artur Bala <artur.bala.tn@gmail.com> wrote:




Le sam. 30 janv. 2021 à 10:51, Riccardo (Jack) Lucchetti <p002264@staff.univpm.it> a écrit :
On Fri, 29 Jan 2021, Artur Bala wrote:
> Hi,
> Probably the topic of "How small is really small?" has been already
> discussed but I'm still a bit confused.

The fact
that many, in the economic profession, have come to the unfortunate habit
of automatically thinking "no stars -> bad, two stars -> good, three stars
-> wow" should not deter us, as authors of a statistical package, from
reporting the statistic in the most precise way possible and refrain from
patronising the user.

Btw, in an OLS estimation (at the end of an iterative WLS process) I ended up with a somewhat extreme p-value though ‘non-zero’  printout :)

  F(4, 45) = 2.71006e+08 with p-value = 1.90538e-165

Best,
Artur

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