Re: [Gretl-devel] arima: can not catch how it works now
On Mon, 12 Nov 2018, Allin Cottrell wrote:
Oleh, if you have a definite recommendation for how gretl's arma
should be
revised, please say so. Preferably backed up by testing on a reasonably wide
variety of datasets, including the "classic" benchmarks such as Box-Jenkins.
My objection to adding more arma options is not an objection to change as
such. It's just that if we can find a way to "do it right", in general,
then
that should be the default, not something that an expert has to select.
And besides: I'm all in favour of making libgretl as efficient as
possible, but if I had to choose where to allocate our not-so-abundant
resources, certainly it wouldn't be in the direction of scraping a few CPU
cycles (or marginally improving the precision) in ARIMA estimation. IMHO
the ARIMA implementation we have now is at least perfectly adequate in the
vast majority of the relevant cases in practice, and in most cases it's
downright excellent.
Certainly it's way better than it was one or two years ago, and this is
mainly thanks to Oleh's testing efforts and Allin's coding work. I reckon
we can live with what we have now, especially considering that ARIMA
modelling is something that I se used less and less often by
practitioners.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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