Re: [Gretl-users] $irf(): excess collinearity
On Sun, 12 May 2013, artur tarassow wrote:
I've got an obvious issue with collinearity in my model. When I
try to
compute IRFs with bootstrapped confidence intervals, gretl stops and gives
the following message:
"Excessive collinearity in resampled datasets".
This is a good hint, no question. But what is the specific criteria for
gretl to stop here? Furthermore, despite of setting "set halt_on_error
off", gretl stops.
Here's a relevant comment in lib/src/irfboot.c:
"In re-estimation of VAR or VECM we'll tolerate at most 9
cases of near-perfect collinearity (which can arise by
chance): maybe this should be more flexible?"
I'll see about respecting the "halt_on_error" setting.
However, in the meantime "catch" can be used:
catch matrix IR = irf(1, 2, 0.2)
Allin