Re: [Gretl-devel] a very strange case of arima (poor)... new script
On Thu, 1 Nov 2018, oleg_komashko(a)ukr.net wrote:
> I didn't mean for my verdict to be humiliating
I it was just poorly selected English word
I meant I was disappointed to see results
of the first script and didn't mean to
characterize intentions.
I was disappointed since I forgot to
insert smpl 1 194 into the first code (with my_arima)
With smpl 1 194 mean(diff_series) is O(10^-18)
and everything looks quite different
OK!
--x-12-arima comparison showed that
my transformations do actually nothing to
--x-12-arima estimation results
In my opinion this is an evidence that they
do something similar [...]
That's possible, though maybe they don't need to standardize. We know
they use a switching algorithm -- ML for the ARMA terms plus GLS for
the regression terms -- and since GLS has an analytical solution it
shouldn't be so vulnerable to numerical problems in face of "wacky"
data for the exogenous variables.
Speaking of x12a, I've now (in git) enabled the $vcv accessor for this
case. The covariances between the ARMA and regression terms will be
identically zero since x12a doesn't calculate them. IIRC they argue
that they should be uncorrelated asymptotically.
Allin