[Gretl-devel] Re: problem with omit --auto=BIC

with a recent snapshot I'm seeing weird behavior when playing around with the relatively new auto-omit option through BIC. Sorry, I cannot provide a self-contained example with public data yet. This is with 7-days-daily data. First, what I'm seeing is that with --auto=BIC the constant term is eliminated. It doesn't do that with --auto=0.05 and in this data it doesn't seem to make sense. I thought that the constant is always kept, at least per default? Along the elimination sequence I'm seeing: " Drop const BIC = 1.#QNAN" ... this already looks fishy, something going wrong here? There are more lines with the BIC = 1.#QNAN value. And then at the end gretl tells me: "Test statistic: F(30, 128) = 157.789, p-value 5.72395e-087 Omitting variables improved 0 of 3 information criteria." Needless to say, the resulting model is very dubious. Maybe this information already helps a little to diagnose the problem.