Re: [Gretl-devel] arma testing: first impressions

In current git and snapshots there's a "secret" option for the arma command, --as197 or just -a, which invokes new code using Melard's algorithm AS 197 in place of the default Kalman-based code when estimation is via native exact ML. The hope -- borne out by our testing to date -- is that AS 197 will be a good deal faster than the Kalman code without sacrifice of accuracy. But it would be good to have that confirmed or denied on a wider range of cases. (However, note that AS 197 will not be used if there are missing values in the sample range.) We've also been thinking about revising our arma initialization code, but at present both Kalman and AS 197 use the "same old" initialization methods. I might point out that you can expect slightly different coefficients and/or standard errors from Kalman and AS 197: these often change a little even when one and the same algorithm is employed, with updates to the C compiler or blas/lapack. Our concern is ensuring that we don't get a noticeably inferior maximized loglikelihood with AS 197, or failure to converge when the Kalman variant converges. Allin _______________________________________________ Gretl-devel mailing list Gretl-devel@lists.wfu.eduhttp://lists.wfu.edu/mailman/listinfo/gretl-devel