[R] ca.jo function, urca package, singular matrix problem
John C Frain
frainj at gmail.com
Thu Jul 9 21:23:47 CEST 2015
There is something very wrong in your data set. You appear to have two
distinct observations of your variables and these are continuously repeated
throughout the sample.
On 9 Jul 2015 18:26, "Bert Gunter" <bgunter.4567 at gmail.com> wrote:
> I do know nothing about what you are specifically doing (!!) but...
>
> In general, R uses factors and contrasts not dummy variables to handle
> categorical variables in (linear) models, so it might be that your
> dummy variable representation is what causes the singularity. If so,
> do a web search on "contrasts in R" for background and details. Also
> ?contrasts and the linked man pages in R.
>
> Cheers,
> Bert
>
>
> Bert Gunter
>
> "Data is not information. Information is not knowledge. And knowledge
> is certainly not wisdom."
> -- Clifford Stoll
>
>
> On Thu, Jul 9, 2015 at 6:51 AM, mrrox <r.otojanov at qmul.ac.uk> wrote:
> > 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!
> >
> >
> >
> > --
> > View this message in context:
> http://r.789695.n4.nabble.com/ca-jo-function-urca-package-singular-matrix-problem-tp4709635.html
> > Sent from the R help mailing list archive at Nabble.com.
> >
> > ______________________________________________
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> > PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
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