Dear Allin,
Gretl uses df correction for Ljung-Box Q'
in modtest --autocorr after arima command
May be, it would be more convenient
to change the default order to
something like max($pd, p+q+P+Q+1)?
Oleh
23 вересня 2015, 01:09:23, від "Allin Cottrell" <cottrell(a)wfu.edu>:
On Tue, 22 Sep 2015, oleg_komashko(a)ukr.net wrote:
> Dear Allin,
> This script doesn't crashes
Thanks, Oleh. So know we know, by the empirical method, that running
a double loop over p and q (with a max of p=2, q=2) in arma
estimation is not in itself a sufficient cause of a crash on Windows
XP.
The forensic method in software development often proceeds by
seeking the minimal program that provokes a crash. So now we need to
look a little further. Does it make a difference if the loops start
at p=0, q=0, rather than p=1, q=1 as in my script (all else
unchanged)?
Thanks very much for helping to debug this issue.
>> [C]ould I ask you just to confirm Yes or No, whether the script
>> that I posted crashes on XP? Here it is again:
>>
>> nulldata 100
>> setobs 1 1 --special-time-series
>> set seed 77431
>> series y = normal()
>> loop p=1..2 -q
>> loop q=1..2 -q
>> catch arma p q ; y -q
>> endloop
>> endloop
Allin
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