I am running a FMOLS and a DOLS estimator to for cointegration with structural breaks and I keep getting the feedback:
'Error Matrix singular'
Can anyone help me determine what I am doing wrong since the FMOLS is working well.
G0048 Matrix singular most often occurs when attempting to either invert a matrix or solve a system of linear equations with a coefficient matrix in which not all of the columns are linearly independent.
Here is a simple example which will cause the problem
//Create a 100x3 random matrix x = rndn(100, 3); //Add a fourth column to 'x' which is //identical to the second column x = x ~ x[.,2]; //Create a moment matrix mm = x'x; //Attempt to invert the singular matrix mmi = inv(mm);
Sometimes this occurs because some of the variables in the model are very similar. Other times this occurs, because the data was loaded incorrectly. You should add a print statement after the line in which the error occurs to inspect the singular matrix, this may help reveal the problem.