gretl version 2018d-git

Current session: 2018-11-15 22:29

? set verbose off

Read datafile /home/oleh/gretl/very_bad_data.gdt

'arima 2 1; var1 --x-12-arima' results:

Model 1: ARMA, using observations 1900-1999 (T = 100)

Estimated using X-13-ARIMA (exact ML)

Dependent variable: var1

            coefficient   std. error     z      p-value

 ------------------------------------------------------

 const       2.09907       2.62101     0.8009   0.4232

 phi_1       0.347239      0.331677    1.047    0.2951

 phi_2       0.608396      0.321796    1.891    0.0587  *

 theta_1     0.558995      0.345076    1.620    0.1052

Mean dependent var   0.164128   S.D. dependent var   3.069430

Mean of innovations  0.028041   S.D. of innovations  0.975996

Log-likelihood      −140.8892   Akaike criterion     291.7784

Compare 'const' and 'Mean dependent var'!

Initial values from failed 'arima 2 1; var1 --verbose':

ARMA initialization: using linear AR model

Iteration 1: loglikelihood = -176.101858631

Parameters:       426.94     0.91245    0.087320  0.00010000

It seems, this is how the figures above were obtained:

Estimate 'ols var1 0 var1(-1 to -2)'

Then (b[1]/(1-sum(b[-1]))|b[-1])' is

     426.94      0.91245     0.087320

But P(1), i.e. 1 - sum(b[-1]) = 0.000224941

Naturally, with such an initial constant eventually we get:

Iteration 999: loglikelihood = -145.834755022 (steplength = 1)

Parameters:       339.16     0.43512     0.56488     0.48653

Gradients:    -0.0029644     -265.26     -265.19   -0.071660 (norm 8.16e+00)

--- FINAL VALUES:

loglikelihood = -145.828634454 (steplength = 1)

Parameters:       336.15     0.40383     0.59616     0.52404

Gradients:    -0.0029303     -2808.7     -2808.0    -0.69924 (norm 2.65e+01)

The convergence criterion was not met

set verbose off

open very_bad_data.gdt --quiet

printf "\n'arima 2 1; var1 --x-12-arima' results:\n"

outfile mybuf --buffer --quiet

arima 2 1; var1 --x-12-arima

end outfile

smallbuf = substr(mybuf,1,strlen(mybuf)-strlen(strstr(mybuf,"Schwarz criterion")))

print smallbuf

printf "\nCompare 'const' and 'Mean dependent var'!\n"

outfile mybuf --buffer --quiet

catch arima 2 1; var1 --verbose

end outfile

err = $error

smallbuf = substr(mybuf,1,strlen(mybuf)-strlen(strstr(mybuf,"Gradients:")))

endbuf = strstr(mybuf,"Iteration 999:")

printf "\nInitial values from failed 'arima 2 1; var1 --verbose':"

printf "\n%s", smallbuf

printf "\nIt seems, this is how the figures above were obtained:\n"

printf "\nEstimate 'ols var1 0 var1(-1 to -2)'\n"

ols var1 0 var1(-1 to -2) --quiet

b = $coeff

printf "\nThen (b[1]/(1-sum(b[-1]))|b[-1])' is \n\n"

eval (b[1]/(1-sum(b[-1]))|b[-1])'

printf "\nBut P(1), i.e. 1 - sum(b[-1]) = %g\n\n",(1 -sum(b[-1]))

printf "Naturally, with such an initial constant eventually we get:\n\n"

print endbuf

eval errmsg(err)