[Gretl-devel] arima issues

Dear all, Below is a script illustrating some problems with arima command For convenience .inp file is also added <hansl open greene5_1.gdt logs * arima 1 1 1; l_realcons mod1 = $model eval mod1.ylist eval $ylist # it seems the both variants output series with ID = 1 # this crashes gretl (resent snpshots) both on Windows 10 (64) # and Ubuntu 18.4 (64): matrix a_matrix = zeros(2,1) set initvals a_matrix arima 1 1 1; l_realcons --nc # but on 2018a the output is /* The convergence criterion was not met Error executing script: halting */ # on 2018a arima 1 1 1; l_realcons --nc --lbfgs /* Function evaluations: 8 Evaluations of gradient: 8 Model 1: ARIMA, using observations 1950:2-2000:4 (T = 203) Estimated using Kalman filter (exact ML) Dependent variable: (1-L) l_realcons Standard errors based on Hessian coefficient std. error z p-value -------------------------------------------------------- phi_1 0.872604 0.0756384 11.54 8.64e-031 *** theta_1 −0.481946 0.136679 −3.526 0.0004 *** Mean dependent var 0.008817 S.D. dependent var 0.008856 Mean of innovations 0.002195 S.D. of innovations 0.009571 Log-likelihood 655.4098 Akaike criterion −1304.820 Schwarz criterion −1294.880 Hannan-Quinn −1300.798 Real Imaginary Modulus Frequency ----------------------------------------------------------- AR Root 1 1.1460 0.0000 1.1460 0.0000 MA Root 1 2.0749 0.0000 2.0749 0.0000 ----------------------------------------------------------- */ # for comparison arima 1 1 1; l_realcons --nc --x-12-arima # on snapshot arima 1 1 1; l_realcons --nc --lbfgs /* The convergence criterion was not met Error executing script: halting */ # the same (The convergence criterion was not met) # from 2018a arima 1 1 1; l_realcons --nc --lbfgs matrix a_ma = {0.872604,−0.481946} set initvals a_ma arima 1 1 1; l_realcons --nc --lbfgs # approx from arima 1 1 1; l_realcons --nc --x-12-arima matrix a_ma2 = {0.99,−0.99} set initvals a_ma2 arima 1 1 1; l_realcons --nc --lbfgs # this also crashes gretl (resent snpshots) matrix a_matrix = zeros(2,1) set initvals a_matrix arima 1 1 1; l_realcons --nc --lbfgs # does not affects set initvals a_matrix arima 1 1 1; l_realcons --nc --x-12-arima hansl> Oleh