Re: [Gretl-devel] arima, re-,re-.....revisited

On Tue, 20 Feb 2018, Allin Cottrell wrote: > On Wed, 21 Feb 2018, oleg_komashko(a)ukr.net wrote: > >> It was on the previous message , greene5_1 > > I'm going to press my point: your previous message did _not_ refer to any > data file and so was equally incomprehensible. Please, if you post hansl > code that is supposed to be runnable, include a reference to a specific > data file (or a suitable "nulldata" command plus appropriate follow-up). > > That said, I now take your point: you present a number of possible manual > initializations of an ARMA(1,1) model of the US population variable from > the greene5_1 dataset, all of which work to produce ML estimates, yet if > the initialization is left to the gretl default, estimation fails at the > first step. I agree, this suggests there is something wrong with our > automatic initialization. We'll look into it as you suggest. It should be said that the variable "pop" in the greene5_1 dataset is, at least I(1), so the constant-less ARMA(1,1) Oleh is estimating is grossly misspecified.