discussion between users of the gretl econometric software

mastro2387-IWqWACnzNjyonA0d6jMUrA@public.gmane.org | 30 May 2012 11:20

matrix no positive definite

Dear All,
I have a problem with running a VAR: i selected three 
endogenous variables and one dummy as exogenous, 8 lags chosen by lag 
selection option, with constant, trend and robust error options 
selected, but gretl is saying to me matrix is no positive definite: how 
can I sort this issue out?

Thanks

Regards

Mirko  

----Messaggio 
originale----
Da: paolo.chirico <at> unito.it
Data: 30/05/2012 10.57
A: 
"Gretl list"<gretl-users <at> lists.wfu.edu>
Ogg: Re: [Gretl-users] problem 
with kalman filter

Il 29/05/2012 18.39, Allin Cottrell ha scritto:
> 
On Tue, 29 May 2012, Paolo Chirico wrote:
>
>> I have run the following 
script for local linear model with quarterly
>> seasonality:
> [snip]

(Continue reading)

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Allin Cottrell | 30 May 2012 14:23

Re: matrix no positive definite

On Wed, 30 May 2012, mastro2387@... wrote:

> I have a problem with running a VAR: i selected three 
> endogenous variables and one dummy as exogenous, 8 lags 
> chosen by lag selection option, with constant, trend and 
> robust error options selected, but gretl is saying to me 
> matrix is no positive definite: how can I sort this issue 
> out?

That message means that your set of regressors is close to 
perfect collinearity -- not so close that OLS estimates cannot 
be obtained, but close enough that computation of robust 
standard errors fails. The error message could be improved.

Allin Cottrell