Insert after the previous script,

run and look up at the number of iterations

set initvals ma

arima 1 0; @testnami --verbose

series y = @testnami - mean(@testnami)

arima 1 0; y --nc -q

matrix b0 = $coeff

matrix ma2 = 0.0001|b0

set initvals ma2

arima 1 0; @testnami --verbose

z = (y-mean(y))/sd(y)+1

matrix ma3 = 1|b0

set initvals ma3

arima 1 0; z --verbose

Oleh

13 листопада 2018, 17:06:04, від oleg_komashko@ukr.net:

There's a possibility of risk that

one could think that ma-term could

be of importance, so

I'd rather add

open very_bad_data10.gdt

n = $nvars - 1

scalar number_of_non_convergence = 0

loop i= 1..n -q

nami = sprintf("var%d",i)

kpss -1 @nami

catch arima 1 0; @nami

err = $error

if err

   number_of_non_convergence +=1

endif

endloop

printf "\nThe total number of variable in the datafile = %d\n", n

printf "\nThe number of non-convergent arma(1,0) models = %d\n", n

####################################################

test1 = randint(1,16)

testnami = sprintf("var%d",test1)

catch arima 1 0; @testnami --verbose

eval mean(@testnami)

arima 1 0; @testnami --x-12-arima

matrix ma = {mean(@testnami),0.001}

set initvals ma

arima 1 0; @testnami

Oleh

13 листопада 2018, 16:11:28, від oleg_komashko@ukr.net:

Dear Allin,

To see the problem, use the attached data file

and run the chunk of code below

<hansl>

#####################################################

###### run 2 chancks separately

open very_bad_data.gdt

# let we decide that series y

# is staionary  if kpss p-value

# is greater than 0.01

# this means that

# arima 2 1; y

# is by no means apriory misspecified

n = $nvars - 1

scalar number_of_non_convergence = 0

loop i= 1..n -q

nami = sprintf("var%d",i)

kpss -1 @nami

catch arima 2 1; @nami

err = $error

if err

   number_of_non_convergence +=1

endif

endloop

printf "\nThe total number of variable in the datafile = %d\n", n

printf "\nThe number of non-convergent arma(2,1) models = %d\n", n

##########################################################

##########################################################

test1 = randint(1,81)

testnami = sprintf("var%d",test1)

arima 2 1; @testnami --verbose

eval mean(@testnami)

arima 2 1; @testnami --x-12-arima

### what to compare:

# 1) final values of arma parameters

# with --x-12-arima estimates

# 2) compare initial constant with

# (i) final value of constant

# (ii) mean of the series

# (iii) with --x-12 constant estimate

# it seems there are serious problems

# with initial value for constant

<hansl>

Oleh

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