** On entry to DLASCL parameter number 4 had an illegal value Crashes Python

[Berowne]

G'day.

I'm trying to test the VAR model on multivariate TS.
http://statsmodels.sourceforge.net/devel/vector_ar.html#granger-causality
from statsmodels.tsa.vector_ar.var_model import VAR

when I run
results=model.fit(2)
I get the error
** On entry to DLASCL parameter number 4 had an illegal value

[bashtage]

There is a nan or inf in the matrix being inverted.

[Berowne]

Thanks Kevin Damn data wrangling. The dumping out of python is a bit of a harsh error! Cheers, Berowne

…

On 6 Apr 2017, at 9:30 pm, Kevin Sheppard ***@***.***> wrote: There is a nan or inf in the matrix being inverted. — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or mute the thread.

[bashtage]

This crash is a feature of Intel's MKL, not Python/statsmdodels/numpy. Best would be to check for nan/inf in sm and raise with a nice error message.

[bashtage]

Closing since fixed as far as it can since mostly a MKL issue.

[dario-passos]

I can reproduce this error as well! But my fist notice of a similar error came from sklearn PLSRegression model fit. It raises a problem with linalg svd decomposition but only for the first time it is run. If I run the same cell for a second time it will work, Any clues from where this problem might come in your case with the ARIMA model?

Cheers
Dário

[bashtage]

@dario-passos Are you using Windows by chance?

If you are:

1. Using Windows version 2004 or later (build 19041 or later)
2. Using NumPy installed from pip

then you might be experiencing numpy/numpy#16744

[dario-passos]

@bashtage , yes, I'm on a Windows 10 (version 2004) PC and I have my numpy installed through pip!
A few minutes ago I installed the numpy+mkl version on my system and those svd errors seem to have disappeared. This might be in line with the OpenBlas issues that the post you mention talk about. However, for me, this solution was not the best one because my tensorflow-gpu 2.2 install is now giving me warnings... But that is a battle to another day. Thanks for sharing the information. I'll definitely take a look.
Cheers
Dário

[bashtage]

This OpenBLAS bug is definitely a nasty one that will be catching a lot out until fixed.