Re: [Gretl-devel] arima, re-,re-.....revisited

The bug is very small, run ma = {0.00001,0.00001} set initvals ma catch arma 1 1; pop  --nc --opg ma = {-0.9,-0.9} set initvals ma catch arma 1 1; pop  --nc --opg ma = {0,0} set initvals ma catch arma 1 1; pop  --nc --opg set initvals auto catch arma 1 1; pop  --nc --opg Oleh 20 лютого 2018, 23:37:30, від oleg_komashko(a)ukr.net: Dear all, An example to reproduce function void arma11_via_kalman (series y) /* listing 33.1 with '--hessiaan' dropped */ /* parameter initialization */ scalar phi = 0 scalar theta = 0 scalar sigma = 1 /* state-space model setup */ matrix H = {1; theta} matrix F = {phi, 0; 1, 0} matrix Q = {sigma^2, 0; 0, 0} bundle kb = ksetup(y, H, F, Q) /* maximum likelihood estimation */ mle logl = ERR ? NA : kb.llt kb.obsymat[2] = theta kb.statemat[1,1] = phi kb.statevar[1,1] = sigma^2 ERR = kfilter(&kb) params phi theta sigma end mle end function set verbose on arma11_via_kalman(pop) arma 1 1; pop  --nc --conditional catch arma 1 1; pop  --nc catch arma 1 1; pop  --nc --x-12-arima Question: why the natives do not use this trick? Oleh _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel