Re: [Gretl-devel] a very strange case of arima (poor)convergence

At last, I have known where NLS diagnostics is from Recall, this well specified model with well behaved polynomial roots and no autocorrelation I hove, initial values are checked and adjusted for roots to be outside of the unit circle Oleh 28 жовтня 2018, 20:52:10, від "Riccardo (Jack) Lucchetti" <r.lucchetti(a)univpm.it&gt;: On Sun, 28 Oct 2018, Riccardo (Jack) Lucchetti wrote: As for the second problem, I guess the solution is quite easy but I'd wait for Allin's opinion before committing any code to git. In some cases, we initialise ARMA via NLS; however, we use NLS as if we were estimating a "real" model, and therefore we employ our usual (rather strict) convergence criterion. Of course, there's no need to be picky about convergence, since nls is just meant to provide sensible starting values. If you modify the nls_toler setting before running the arima command, things go back to normal; example: <hansl> open bad_data.gdt smpl 1 194 series sty=diff_series/sd(diff_series) list zli = y_one y_two set nls_toler 1.0e-5 y = sty+6.48 arima 3 0 0; 1 0 0; y 0 zli </hansl> Now the question is: should we raise NLS tolerance by default, when it's used for ARMA initialisation, or do we have a better strategy? ------------------------------------------------------- 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 -------------------------------------------------------