用S-PLUS finmetrics模块对两因素利率模型进行GMM估计,使用17个矩估计6个参数,出现下面的情况,不知道什么原因,说近似奇异矩阵,希望知道的能不吝指教。
另外,不知道有没有更好的软件,对两因素利率模型进行GMM估计。
> ckls.sv.fit = GMM(start.vals, ckls.sv.moments, method = "iterative",ts = T, data =data.ts)1-step objective = 11.491 2-step objective = 480.247 3-step objective = 472.939 4-step objective = 470.25
> traceback()
10: eval(action, sys.parent())
9: doErrorAction("Problem in solve.qr(a): apparently singular matrix", 1000)
8: stop("apparently singular matrix")
7: solve.qr(a)
6: solve.default(crossprod(old.Li %*% Gamma))
5: solve(crossprod(old.Li %*% Gamma))
4: solve(crossprod(old.Li %*% Gamma))/n
3: GMM(start.vals, ckls.sv.moments, method = "simultaneous", ts = T, data = data.ts)
2: eval(expression(ckls.sv.fit = GMM(start.vals, ckls.sv.moments, method = "simultaneous", ts = T, data = data.ts)))
1:
Message: Problem in solve.qr(a): apparently singular matrix