[Gretl-devel] arima: initial value problem

Dear Allin, To see the problem, use the attached data file and run the chunk of code below <hansl> ##################################################### ###### run 2 chancks separately open very_bad_data.gdt # let we decide that series y # is staionary  if kpss p-value # is greater than 0.01 # this means that # arima 2 1; y # is by no means apriory misspecified n = $nvars - 1 scalar number_of_non_convergence = 0 loop i= 1..n -q nami = sprintf("var%d",i) kpss -1 @nami catch arima 2 1; @nami err = $error if err    number_of_non_convergence +=1 endif endloop printf "\nThe total number of variable in the datafile = %d\n", n printf "\nThe number of non-convergent arma(2,1) models = %d\n", n ########################################################## ########################################################## test1 = randint(1,81) testnami = sprintf("var%d",test1) arima 2 1; @testnami --verbose eval mean(@testnami) arima 2 1; @testnami --x-12-arima ### what to compare: # 1) final values of arma parameters # with --x-12-arima estimates # 2) compare initial constant with # (i) final value of constant # (ii) mean of the series # (iii) with --x-12 constant estimate # it seems there are serious problems # with initial value for constant <hansl> Oleh