AugmentedDickeyFuller Non-Invertible Array

ozcanalpParticipant 2013-05-03 at 3:27 pm

What would cause this error when running a ADF test on a ~1500 datapoint array? It seems to work for some datasets (of the same size) but not others.

Exception in thread “main” java.lang.IllegalArgumentException: L is not invertible at com.numericalmethod.suanshu.misc.ArgumentAssertion.assertTrue(rkb:513) at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:233) at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.K(eeb:2) at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:212) at com.numericalmethod.suanshu.matrix.doubles.operation.Inverse.(eeb:117) at com.numericalmethod.suanshu.stats.regression.linear.LMProblem.invOfwAtwA(cg:250) at com.numericalmethod.suanshu.stats.regression.linear.ols.OLSBeta.covariance(fn:243) at com.numericalmethod.suanshu.stats.regression.linear.BetaCoefficient.stderr(ti:189) at com.numericalmethod.suanshu.stats.test.timeseries.adf.AugmentedDickeyFuller.statistics(gg:115) at com.numericalmethod.suanshu.stats.test.timeseries.adf.AugmentedDickeyFuller.pValue(gg:204) …
RyuParticipant 2013-05-06 at 11:14 am

Hi, could you send your code to: s u p p o r t n u m e r i c a l m e t h o d { . } c o m? We will take a look. Thanks.