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

Even without polroots(): open greene5_1.gdt ols pop 0 pop(-1) -q theta0 = $coeff ma = theta0|0 set initvals ma arima 1 1; pop --verbose --opg Oleh P.S. /* A method for safe initial values Whatever it be it can give roots inside the unit circle This can be easily agjusted Hansl has filter() so expanding factored polynomials is not a problem Suppose, we have found (1,-phi_1,     -phi_k) as init. values whatever way using (non)linear AR, conditional loglik, etc 1) check absolute value of roots 2) factor 3) scale improper roots to have abs. value, say 1.01 4) expand this way we would have a new set of phi_1,..,phi_k which would be in admissible domain */   21 лютого 2018, 12:10:27, від "Sven Schreiber" <svetosch(a)gmx.net&gt;: Am 21.02.2018 um 11:00 schrieb oleg_komashko(a)ukr.net: Perhaps you could check your example with the polroots() function. I tend to agree that the algorithm should avoid initial values that are in an "inadmissible" region. OTOH sometimes it is perfectly valid to estimate models with --for example-- explosive roots. So maybe it's not always clear a priori what "admissible" really means. cheers, sven _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel