Serving the Quantitative Finance Community
PcGets: singular warning
HiI'm doing some model selection in PCGets.In the output I get the following warning:"*** Warning: OLS - W'W is singular."I have narrowed the problem down to dummy variables:If I either include my own dummies or let PcGets identify dummies, I get the warning.(And I have checked that the dummies are not linearly dependent on each other.)Has anyone any experience with the warning?Is it just some intermediate error, that does not invalidate the final solution?ThanksChrisitian