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| estimating a BEKK model with R Studio, doesn't succeed. [ Reply ] By: Jelmer Potkamp on 2018-10-18 07:50 | [forum:46350] |
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Hello, I try to estimate a BEKK model with the mgarchBEKK package of R. The code I used: BEKK(Data_AEX_BEL20_LUXX, order=c(1,1), params=NULL, fixed=NULL, method="BFGS", verbose=F) However, I constantly get the error: Error in solve.default(estimation$hessian) : Lapack routine dgesv: system is exactly singular: U[1,1] = 0 Can anyone tell me what is going wrong? Thanks!! |
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