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.
Allin