Re: [Gretl-devel] arima: can not catch how it works now
On Mon, 12 Nov 2018, oleg_komashko(a)ukr.net wrote:
--x-12-arima behavior tells than even they
use a different algorithm [...]
We know quite well that the X-13-ARIMA people use a different
algorithm, since they tell us so in their documentation: it's an
algorithm that switches between ML and GLS. We are probably not
going to replicate that, effective as it may be.
in practice the behavior of their estimates is indistinguisheable
from my arima3
Oleh, if you have a definite recommendation for how gretl's arma
should be revised, please say so. Preferably backed up by testing on
a reasonably wide variety of datasets, including the "classic"
benchmarks such as Box-Jenkins.
My objection to adding more arma options is not an objection to
change as such. It's just that if we can find a way to "do it
right", in general, then that should be the default, not something
that an expert has to select.
Allin