[R] ca.jo function, urca package, singular matrix problem
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Thu Jul 9 18:06:39 CEST 2015
Watch out for the pre-sample values (K = 2); hence you have supplied a dumvar consisting of zeros only, in your first example.
Best,
Bernhard
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Von: R-help [mailto:r-help-bounces at r-project.org] Im Auftrag von mrrox
Gesendet: Donnerstag, 9. Juli 2015 15:51
An: r-help at r-project.org
Betreff: [R] ca.jo function, urca package, singular matrix problem
Hi, I am trying to run a cointegration test with a dummy variable using `*ca.jo*` function in `*urca*` package.
*johcoint=ca.jo(Ydata[10:60,1:5],type="trace",ecdet=c("const"),K=2,spec="transitory",dumvar=dumvar)
*
`*dumvar*` is the binary variable that take 1 and 0 only. the first two observations are 1 and the rest are 0s.
when I run the code, I get
/ Error in solve.default(M11) :
Lapack routine dgesv: system is exactly singular: U[1,1] = 0/
I think this is something to do with the invertability of the input matrix, and this occurs only when I use `*dumvar*` only. The error message disappears if I add a 1 to the 3rd observation of `dumvar`.
Below is the sample data just for info:
A B C D E
dumvar
1 2.255446 1.688807 1.506579 1.880152 9.575868 1
2 2.230118 1.578281 1.546805 1.905426 9.545534 1
3 2.255446 1.688807 1.506579 1.880152 9.575868 0
4 2.230118 1.578281 1.546805 1.905426 9.545534 0
5 2.255446 1.688807 1.506579 1.880152 9.575868 0
6 2.230118 1.578281 1.546805 1.905426 9.545534 0
7 2.255446 1.688807 1.506579 1.880152 9.575868 0
8 2.230118 1.578281 1.546805 1.905426 9.545534 0
9 2.255446 1.688807 1.506579 1.880152 9.575868 0
10 2.230118 1.578281 1.546805 1.905426 9.545534 0
11 2.255446 1.688807 1.506579 1.880152 9.575868 0
12 2.230118 1.578281 1.546805 1.905426 9.545534 0
13 2.255446 1.688807 1.506579 1.880152 9.575868 0
14 2.230118 1.578281 1.546805 1.905426 9.545534 0
15 2.255446 1.688807 1.506579 1.880152 9.575868 0
16 2.230118 1.578281 1.546805 1.905426 9.545534 0
17 2.255446 1.688807 1.506579 1.880152 9.575868 0
18 2.230118 1.578281 1.546805 1.905426 9.545534 0
19 2.255446 1.688807 1.506579 1.880152 9.575868 0
20 2.230118 1.578281 1.546805 1.905426 9.545534 0
21 2.255446 1.688807 1.506579 1.880152 9.575868 0
22 2.230118 1.578281 1.546805 1.905426 9.545534 0
23 2.255446 1.688807 1.506579 1.880152 9.575868 0
24 2.230118 1.578281 1.546805 1.905426 9.545534 0
25 2.255446 1.688807 1.506579 1.880152 9.575868 0
26 2.230118 1.578281 1.546805 1.905426 9.545534 0
27 2.255446 1.688807 1.506579 1.880152 9.575868 0
28 2.230118 1.578281 1.546805 1.905426 9.545534 0
29 2.255446 1.688807 1.506579 1.880152 9.575868 0
30 2.230118 1.578281 1.546805 1.905426 9.545534 0
31 2.255446 1.688807 1.506579 1.880152 9.575868 0
32 2.230118 1.578281 1.546805 1.905426 9.545534 0
33 2.255446 1.688807 1.506579 1.880152 9.575868 0
34 2.230118 1.578281 1.546805 1.905426 9.545534 0
35 2.255446 1.688807 1.506579 1.880152 9.575868 0
36 2.230118 1.578281 1.546805 1.905426 9.545534 0
37 2.255446 1.688807 1.506579 1.880152 9.575868 0
38 2.230118 1.578281 1.546805 1.905426 9.545534 0
39 2.255446 1.688807 1.506579 1.880152 9.575868 0
40 2.230118 1.578281 1.546805 1.905426 9.545534 0
41 2.255446 1.688807 1.506579 1.880152 9.575868 0
42 2.230118 1.578281 1.546805 1.905426 9.545534 0
43 2.255446 1.688807 1.506579 1.880152 9.575868 0
44 2.230118 1.578281 1.546805 1.905426 9.545534 0
45 2.255446 1.688807 1.506579 1.880152 9.575868 0
46 2.230118 1.578281 1.546805 1.905426 9.545534 0
47 2.255446 1.688807 1.506579 1.880152 9.575868 0
48 2.230118 1.578281 1.546805 1.905426 9.545534 0
49 2.255446 1.688807 1.506579 1.880152 9.575868 0
50 2.230118 1.578281 1.546805 1.905426 9.545534 0
Thank you!
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