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mrrox

2015-Jul-09 13:51 UTC

[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!



--
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.

Pfaff, Bernhard Dr.

2015-Jul-09 16:06 UTC

head link

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

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

-----Urspr?ngliche Nachricht-----
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!



--
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.

______________________________________________
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.
*****************************************************************
Confidentiality Note: The information contained in this ...{{dropped:10}}

Bert Gunter

2015-Jul-09 17:24 UTC

head link

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

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.
>
> ______________________________________________
> 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.

John C Frain

2015-Jul-09 19:23 UTC

head link

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

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.
> >
> > ______________________________________________
> > 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.
>
> ______________________________________________
> 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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R help - Jul 2015 - ca.jo function, urca package, singular matrix problem

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

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

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

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