Errors in Repilicating Mountford and Uhlig 2009

Questions and discussions on Vector Autoregressions
dnfloro1
Posts: 9
Joined: Wed Sep 25, 2013 8:32 am

Errors in Repilicating Mountford and Uhlig 2009

Unread post by dnfloro1 »

Hi Tom!!!

I'm replicating Mountford and Uhlig (2009)(MU) by adding an oil shock to the system. Need your kind help in figuring out the error in my codes in the attached.
I am running the MU without delay shocks, but I am getting the error:

## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC.
The Error Occurred At Location 851, Line 52 of FORCEDFACTOR
Called From Location 514, Line 32 of loop/block

What could be wrong?

best regards
dnfloro1
Attachments
scotlandata_99.xls
data
(28.5 KiB) Downloaded 596 times
mujaesetupscot.SRC
source file
(1.54 KiB) Downloaded 901 times
mub1_practice.RPF
MU (2009) codes
(5.38 KiB) Downloaded 940 times
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Errors in Repilicating Mountford and Uhlig 2009

Unread post by TomDoan »

You shouldn't put the NOPRINT option on the ESTIMATE until you know it's right. For some reason your RBPEXP and GVA series are identical, so the covariance matrix is deficient rank.
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