Re: [Gretl-devel] arima, re-,re-.....revisited
It is worse then I(1) : auto_arima with d=1 gives a lot
of non-estimated models. pop should be transformed to logs, but...
In my opinion the first thing to check with
init values is to compute absolute values
of the corresponding polinomial
I suspect, some are outside the admissibility region
Another problem:
when mle block fails to compute hessian it tries to compute opg
arima fails in such situations one should input --opg by hand
Yet another problem is the behavior of BFGLS with good init values
With bjg.gdt arima 2 1 2; 2 1 2; lg takes ~60 seconds (R's arima only ~ 14 seconds)
If insert ints from arima 2 1 2; 2 1 2; lg --x-12-arima
with arima 2 1 2; 2 1 2; lg I have ~40 seconds: the gain from
very good inits givess very little
Oleh
21 лютого 2018, 06:37:38, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Tue, 20 Feb 2018, Allin Cottrell wrote:
On Wed, 21 Feb 2018, oleg_komashko(a)ukr.net wrote:
> It was on the previous message , greene5_1
I'm going to press my point: your previous message did _not_ refer to any
data file and so was equally incomprehensible. Please, if you post hansl code
that is supposed to be runnable, include a reference to a specific data file
(or a suitable "nulldata" command plus appropriate follow-up).
That said, I now take your point: you present a number of possible manual
initializations of an ARMA(1,1) model of the US population variable from the
greene5_1 dataset, all of which work to produce ML estimates, yet if the
initialization is left to the gretl default, estimation fails at the first
step. I agree, this suggests there is something wrong with our automatic
initialization. We'll look into it as you suggest.
It should be said that the variable "pop" in the greene5_1 dataset is, at
least I(1), so the constant-less ARMA(1,1) Oleh is estimating is grossly
misspecified. Our present initialisation strategies (Hanna-Rissanen),
for example hinge on the fact that the specification one is trying to
estimate is not too heavily at odds with the data. Debatable, perhaps, but
not meaningless IMO.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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