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I am using the latest snapshot 64 bit version on Win8 64bit.
I am having an issue the irf function. I get the err Matrix is not positive definite if I
ask for bootstrapped confidence bounds, but there is no problem estimating the impulse
response functions itself. This proble has only occurred with one of my sub-samples, so it
might be hard to replicate. Any thought on what might be going wrong?
Thanks,
Logan
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Am 23.10.2013 18:40, schrieb Logan Kelly:
I am using the latest snapshot 64 bit version on Win8 64bit.
I am having an issue the irf function. I get the err Matrix is not
positive definite if I ask for bootstrapped confidence bounds,
Are you talking about the SVAR package here?
-s
@Sven: I think he speaks about the native irf() command.
I had a similar issue in the past. We discussed this a while ago. The
problem may occur if your data show excessive collinearity, for instance.
If this happens more than 10 times within the 999 bootstrap replications,
gretl breaks the loop and gives this error messages.
First, I circumenvented this issue by increasing the number of possible
unstable cases in the C-code, before I programmed it myself. Alternatively,
one could increase the numbers of non-convergent cases to, let's say, 99 or
so.
Artur
2013/10/23 Sven Schreiber <svetosch(a)gmx.net>
Am 23.10.2013 18:40, schrieb Logan Kelly:
> I am using the latest snapshot 64 bit version on Win8 64bit.
>
> I am having an issue the irf function. I get the err Matrix is not
> positive definite if I ask for bootstrapped confidence bounds,
Are you talking about the SVAR package here?
-s
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No. Just the stock VAR functions, i. e. var and irf. I am working with a block recursive
model, as in CCE 1999.
Logan
--
Logan J. Kelly, Ph.D.
Assistant Professor, Department of Economics, University of Wisconsin-River Falls
Director, UWRF Center for Economic Research, http://www.uwrf.edu/cer
Section Editor, Global Business and Economics Review, http://www.inderscience.com/gber
23 D South Hall
College of Business and Economics
University of Wisconsin - River Falls
410 S. Third Street
River Falls, WI 54022-5001
-------- Original message --------
From: Sven Schreiber <svetosch(a)gmx.net>
Date: 10/23/2013 12:40 PM (GMT-06:00)
To: gretl-users(a)lists.wfu.edu
Subject: Re: [Gretl-users] Confidence bounds on IRF
Am 23.10.2013 18:40, schrieb Logan Kelly:
I am using the latest snapshot 64 bit version on Win8 64bit.
I am having an issue the irf function. I get the err Matrix is not
positive definite if I ask for bootstrapped confidence bounds,
Are you talking about the SVAR package here?
-s
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Artur T. -
Logan Kelly -
Sven Schreiber