[Gretl-devel] arima ... --nc: a short non-convergence investigation

Dear Allin, # It seems, there are no problems # with libgretl arima ... -nc # It seems, there are problems # with stopping rules #*********************************************************** scalar enormous = 2*$huge set bfgs_maxgrad enormous open greene5_1.gdt logs realcons ldiff realcons # surprisingly small eval mean(ld_realcons)/sd(ld_realcons) arima 1 1 1; l_realcons --nc -q eval $coeff lnl0 = $lnl eval $model.roots eval lnl0 modtest --autocorr arima 1 1 1; l_realcons --nc --x-12-arima -q eval $coeff lnl1 = $lnl printf "\nlnl difference (libgretl - x13): %g\n", lnl0 - lnl1 arima 1 1 1; 0 0 1; l_realcons --nc -q eval $coeff lnl0 = $lnl eval $model.roots eval lnl0 arima 1 1 1; 0 0 1; l_realcons --nc --x-12-arima -q eval $coeff lnl1 = $lnl printf "\nlnl difference (libgretl - x13): %g\n", lnl0 - lnl1 arima 1 1 1; 1 0 0; l_realcons --nc -q eval $coeff lnl0 = $lnl eval $model.roots eval lnl0 arima 1 1 1; 1 0 0; l_realcons --nc --x-12-arima -q eval $coeff lnl1 = $lnl printf "\nlnl difference (libgretl - x13): %g\n", lnl0 - lnl1 # # *************************************************************** # # final gradient norm simply depends on scaling set bfgs_maxgrad 5 set bfgs_verbskip 10000 catch arima 1 0 1; ld_realcons --nc --verbose sld = ld_realcons/sd(ld_realcons) catch arima 1 0 1; sld --nc --verbose #******************************************************************* Oleh