[Gretl-users] VECM and restrictions: gretl crashes
Hello,
for the same file and session as yesterday I just wanted to do some
further work. Gretl does not calculate estimations for a restricted VECM
and gives this error after the restriction block:
"Matrices not conformable for operation
Error executing script: halting
end restrict"
I saved the restricted model by starting the restriction block with "2
<- restrict --full". If i want to open the saved (restricted model) in
the icon view, gretl crashes. The terminal gives the following output:
"gretl_cholesky_decomp_solve: rcond = 3.87839e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 9.5145e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 8.36441e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 7.48808e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 6.08595e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 5.832e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
gretl_cholesky_decomp_solve: rcond = 4.44682e-07 (info = 0)
gretl_matrix_multi_ols: switching to QR decomp
beta_vname: i=8, k=1
beta_vname: i=9, k=2
beta_vname: i=8, k=1
beta_vname: i=9, k=2
beta_vname: i=8, k=1
gretl_matrix_multiply_mod: matrices not conformable
Requested (44 x 11) * (11 x 1) = (36 x 1)
gretl_matrix_add_to: adding 44 x 1 to 36 x 1
gretl_invert_symmetric_matrix:
dpotrf failed with info = 1 (n = 4)
input matrix (4 x 4)
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
J->qf1: couldn't invert (4 x 4)
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000
gretl_matrix_multiply_new: requested (72 x 36) * (44 x 11)
Segmentation fault"
Even if the restrictions are not ok for some reason, gretl should not crash.
The restriction list for a beta matrix with 4 cointegrating vectors and
11 variables (trend included) is given by:
2 <- restrict --full
b[4,1]=0
b[4,2]=0
b[4,4]-b[4,3]=1
b[4,5]=0
b[4,6]=0
b[4,8]=-1
b[4,10]=0
b[4,11]=1
b[3,1]=0
b[3,2]=0
b[3,4]=-1
b[3,5]=0
b[3,6]=0
b[3,7]=0
b[3,8]=0
b[3,9]=0
b[3,10]=0
b[3,11]=0
b[2,2]=0
b[2,3]=0
b[2,4]=0
b[2,7]=-1
b[2,10]=0
b[1,1]=0
b[1,2]=1
b[1,3]=-1
b[1,5]=0
b[1,6]=0
b[1,7]=0
b[1,8]=0
b[1,9]=0
b[1,10]=0
b[1,11]=0
end restrict
Best,
Artur