Re: [Gretl-devel] a very strange case of arima (poor)convergence
On Fri, 26 Oct 2018, oleg_komashko(a)ukr.net wrote:
> Scrub the redundant "const" and see what happens.
I had scrubbed before the first message
I think this is because of 197 use only scaling
to mean(scaled_y) = 10 and does not use centering
Weird as it may seem, the problem arises because of subsampling. if
TROUBLE == 1, the gradient is not computed correctly (as you can see from
the BFGS iterations).
<hansl>
open bad_data.gdt
TROUBLE = 0
if TROUBLE
smpl 1 194
endif
arima 3 0 0; 1 0 0; diff_series const y_one y_two --verbose
</hansl>
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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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