Re: [Gretl-devel] a very strange case of arima (poor)... new script
On Wed, 31 Oct 2018, oleg_komashko(a)ukr.net wrote:
Dear Allin,
It seems that Riccardo implemented recently
not the same thing I proposed
So attached is arma_1() function which
realizes:
for y: (y-mean(y))/sd(y) + 1
for every x if any:
(x-mean(x))/sd(x)
In the sample the transformations applied twice:
for libgretl and for x-13
Hence 3 comparisons:
libretl based transformed and original libgretl
x-13 based transformed and original x-13
libretl based transformed and original x-13
Hopefully, this time your verdict would be
less humiliating
Thanks, Oleh. I didn't mean for my verdict to be humiliating, but
anyway... you have clearly shown that standardizing any exogenous
variables and "standardize plus 1" for the dependent can help
quite a bit in case of tricky data.
I'll follow up on this when I get some time.
Allin