Dear Allin,
It seems that Riccardo implemented recently
not the same thing I proposed
So attached is arma_1() function which
realizes:
for y: (y-mean(y))/sd(y) + 1
for every x if any:
(x-mean(x))/sd(x)
In the sample the transformations applied twice:
for libgretl and for x-13
Hence 3 comparisons:
libretl based transformed and original libgretl
x-13 based transformed and original x-13
libretl based transformed and original x-13
Hopefully, this time your verdict would be
less humiliating
Oleh
I'm attaching a variant of the hansl code posted recently by Oleh,
which may be a little easier to understand than the original.
Summary: Oleh's hansl code standardizes a "difficult" exogenous
regressor in the arma context. His results are for the most part a
bit better than standard libgretl arma (though still not quite as
good as x13as).
The dataset used in Oleh's examples, bad_data.gdt, can be found
attached to his posting at
http://lists.wfu.edu/pipermail/gretl-devel/2018-October/009185.html
(see
http://lists.wfu.edu/pipermail/gretl-devel/attachments/20181026/da605227/attachment-0001.obj
)
For convenience, this dataset can now also be found at
http://ricardo.ecn.wfu.edu/pub/gretl/bad_data.gdt
Allin
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