[R] ca.jo function, urca package, singular matrix problem

[Bert Gunter]

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!
>
>
>
> --
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>
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