Re: [Gretl-devel] arima, re-,re-.....revisited
I am sorry :
while copy-pasting I missed top
with open greene5_1.gdt
I an updating lagreg
to have full selection with unit ans
seasonal unit root testing
It makes traces of catch-ed non-estimated
models and of course, it id slow (without --x-12-arima option)
so I have found a lot of situations
Also when substract calling time --x-12-arima can be
100 times faster I questioned why and found they use iterative GLS
Oleh
21 лютого 2018, 02:42:33, від "Allin Cottrell" <cottrell(a)wfu.edu>:
On Tue, 20 Feb 2018, oleg_komashko(a)ukr.net wrote:
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, you are altogether too mysterious. Where is this 'pop' coming
from? What are you talking about?
I strongly suspect you have a valid point to make, but you have not
given me the slightest clue what it is.
Allin
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