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@gmx.net>:

Am 21.02.2018 um 11:00 schrieb oleg_komashko@ukr.net:

> In my opinion the first thing to check with
> init values is to compute absolute values
> of the corresponding polinomial
> I suspect, some are outside the admissibility region
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
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