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SVECM error: Matrix is singular

SamSimon
2010-10-14
2013-04-30
  • SamSimon
    SamSimon
    2010-10-14

    Hi all.

    I am trying to estimate a structural VECM on JMulti, but I am not able to get the estimation results.

    I have a 7 variables model with three cointegrating relations (r=3).

    I am setting three columns of zeros in the long run relations matrix (21 zeros, corresponding to 12 linearly independent restrictions). To identify the model, I need 21 total lin. indep. restrictions (7*6/2), three of which should go on the contemporaneous relations matrix. Well, once I add 6 zeros in the long run matrix and three zeros in the contemporaneous one, I am not able to get estimation results because an error message pops in: "Matrix is singular".

    Is there a way to circumvent this problem?

    Thanks in advance for your help.

    S

     
  • Megh
    Megh
    2010-12-19

    I am also very curious to see any reply. but this forum seems to be dead :(