Re: [Gretl-devel] arima, re-,re-.....revisited

It was on the previous message , greene5_1 I think, default init values here have roots inside the unit circle I propose the following /* A method for safe initial values Whatever it be it can give roots inside the unit circle This can be easily agjusted Hansl has filter() so expandig factored polynomials is not a problem Suppose, we have found (1,-phi_1,     -phi_k) as init. values whatever way using non-linear AR, conditional loglic, etc 1) check absolute value of roots 2) factor 3) scale improper roots to have abs. value, say 1.01 4) expand this way we would have a new set of phi_1,..,phi_k which would be in admissible domain */ Oleh Another problem is rescaling BFGS when init values are very good try open bjg.gdt arima 2 1 2; 2 1 2; lg then use  arima 2 1 2; 2 1 2; lg --x-12-arima they use iterative GLS instead insert them into set  initvals: they are very close to solutions but the time gain is very moderate It seems there are not very efficient algoritm when iteration step bumps into the border of admissible area 21 лютого 2018, 02:32:00, від "Allin Cottrell" <cottrell(a)wfu.edu&gt;: On Wed, 21 Feb 2018, oleg_komashko(a)ukr.net wrote: Using what dataset, please? Allin _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel