Hi,
I'm not sure if this is a gretl or cephens bug. I've attached my
test data of 1024 samples, in case the problem needs to be
reproduced.
Using an ARIMA(17,0,2) model with conditional MLE and the given test
data, gretl gets stuck in an infinite loop. Just before the infinite
loop starts, the following stderr is printed:
arma: MA estimate(s) out of bounds
cholbeta: test[18] = 0
gretl_matrix_QR_rank: rcond = 9,94709e-20
dropping redundant variable 18 (e_1)
After further investigation, I discovered that the infinite loop
starts in plugin/arma.c:167 were the following cephens function is
called:
cerr = polrt(b->temp, b->tmp2, qtot,
b->roots);
It seems that the while-loop in cephens/polrt.c is executed over and
over again. Inside the loop there is a "goto tryagn;" statement
which makes the function go back before the loop and then execute
the while-loop again. This happens over and over again (stuck in
infinity).
This problem is specific to the given test data, AR order 17 and MA
order 2. If I have different data or different orders, the problem
disappears. Does anyone know what's going wrong?
Chris