Could you help me with following: I try to run 5eq simultaneously but I have problems with singularity. My coefficients become very small if maxiter>1. If maxiter>4, R returns the error code
“Error in .solve.dgC.lu(as(a, "dgCMatrix"), b = b, tol = tol) : LU computationally singular: ratio of extreme entries in |diag(U)| = 3.696e- 17”
I am estimating censored LA-AIDS model and the estimation should be possible without dropping any equations. With OLS and WLS everything works fine but the results are biased according to theory.. With SUR convergence is not achieved before the run crashes. A couple of tables from summary output:
systemfit results when maxiter=1 method: SUR
N DF SSR detRCov OLS-R2 McElroy-R2
system 16885 16805 595 0 0.042 -0.201
N DF SSR MSE RMSE R2 Adj R2
eq1 3377 3358 55.4 0.016 0.128 0.034 0.029
eq2 3377 3358 87.5 0.026 0.161 0.025 0.020
eq3 3377 3358 87.2 0.026 0.161 0.053 0.048
eq4 3377 3358 197.8 0.059 0.243 0.053 0.049
eq5 3377 3358 166.8 0.050 0.223 0.035 0.031
The covariance matrix of the residuals used for estimation
eq1 eq2 eq3 eq4 eq5
eq1 0.01594 -0.00227 -0.00165 -0.00662 -0.00516
eq2 -0.00227 0.02558 -0.00333 -0.01114 -0.00848
eq3 -0.00165 -0.00333 0.02579 -0.01248 -0.00796
eq4 -0.00662 -0.01114 -0.01248 0.05758 -0.02703
eq5 -0.00516 -0.00848 -0.00796 -0.02703 0.04922
The covariance matrix of the residuals
eq1 eq2 eq3 eq4 eq5
eq1 0.01648 -0.00193 -0.00169 -0.00729 -0.00561
eq2 -0.00193 0.02605 -0.00347 -0.01170 -0.00895
eq3 -0.00169 -0.00347 0.02597 -0.01284 -0.00796
eq4 -0.00729 -0.01170 -0.01284 0.05889 -0.02707
eq5 -0.00561 -0.00895 -0.00796 -0.02707 0.04966
The correlations of the residuals
eq1 eq2 eq3 eq4 eq5
eq1 1.0000 -0.0931 -0.0816 -0.234 -0.196
eq2 -0.0931 1.0000 -0.1333 -0.299 -0.249
eq3 -0.0816 -0.1333 1.0000 -0.328 -0.222
eq4 -0.2339 -0.2988 -0.3282 1.000 -0.501
eq5 -0.1962 -0.2488 -0.2217 -0.501 1.000
Do you have any idea what could be wrong? Thanks in advance! Best Regards Johannes