On Mon, 6 Jul 2009, Allin Cottrell wrote:
I've checked the large number of mle, gmm and arma test scripts
that I have to hand. In no case did the final maximized
likelihood differ between the "bad d" and "good d" runs, to the
digits we print. In some cases the parameter estimates differed,
but only among the trailing digits that are anyway essentially
random for numerical optimization problems (they change with
compiler version/options and other environmental factors).
Confirmed here.
So, certainly this is a worthwhile fix, but people needn't worry
about gretl producing bad MLE results for the last couple of
years! We may have taken a few too many iterations -- or at
worst, given a (rare) error when no error was called for.
Absolutely.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti