statsmodels/statsmodels — Issue #146: singular exog - check
Author: josef-pkt
Created: 2012-02-18 05:16:02+00:00
State: open

I'm not sure anymore what the behavior with singular (reduced rank) exog matrices is. Needs some investigation (again).

for OLS or linear model:
I'd like to warn and add a comment in summary, but I don't want to kill it and create warning noise. Some of the diagnostic tests don't care about singular exog, since they just need the rsquared or a joint test. df_resid (?) uses rank, so this works also with reduced rank.
(example is when dummy or constant is squared and added as additional variable)

What's the effect of using pinv (and bounding smallest eigenvalue away from zero) on the cov_params ? Can we still detect singular exog ex post (df_resid), or should we check and warn in fit?

related: Until we replace pinv with svd or similar we have redundant calculations to check singularity, eigenvalues and rank.