Re: [Gretl-devel] strange behavior of arima on Windows 10

On Thu, 7 Sep 2017, oleg_komashko(a)ukr.net wrote: > Dear all, > arima command gives somewhat inconsistent results: > 1) estimates are different from ones on Ubuntu and Windows 8 > 2) estimates are different when there are more than one > call of the same model inside an user-specified function > To be more precise: > linux_2_arma.inp is the script to illustrate the problem > linux_2_arma_output was obtained on April's git on Ubuntu 16.10, 64 > The results are the same as ones from 09.05 snapshot on Windows 8, 64 > (linux_2_arma_output) > Output from 09.05 snapshot on Windows 10, 64 is in win10_try_res.txt > Also with --x12-arima option output on W-10 is ok Thanks for the report, Oleh. There are two points here: (1) difference in arima output between Linux and Windows 10; and (2) difference in arima output across two calls to estimate the same model in the context of a function. On (1) we need to look into this, but since the Linux and Windows builds use different compilers, small differences in results for nonlinear problems are expected. I'm not yet sure whether the differences in question are small enough to be ignorable, but we'll see. On (2) it seems there must be a bug somewhere -- particularly since two successive calls to estimate the same arima model in a "main" script (not in a function) produce identical results. On initial inspection it seems that initialization (via NLS) is producing different starting parameter values in the two calls to "arma" within a function, though not outside of a function. I don't yet understand why that should be, but hopefully I'll have something to report before long.