Obviously, the right setps
What is left is re-scale exogenous variables:
Compare:
open bad_data.gdt
smpl 1 194
z = y_two+10^5
arima 3 0 0; 1 0 0; diff_series const y_one y_two --x-12-arima
arima 3 0 0; 1 0 0; diff_series const y_one z --x-12-arima
arima 3 0 0; 1 0 0; diff_series const y_one z
Oleh
On Sun, 28 Oct 2018, oleg_komashko@ukr.net wrote:
> Current scaling factor makes mean ~10
> with 1 196 sample mean is ~10^-8
> Hence, scaling factor ~10^18
I just pushed to git a one-liner that seems to solve the first issue you
raised. Now
<hansl>
open bad_data.gdt
smpl 1 194
arima 3 0 0; 1 0 0; diff_series const y_one y_two
</hansl>
produces sensible results. Allin: the fix is rather trivial, but please
take a look.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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