[Gretl-devel] Re: problem with omit --auto=BIC
On Fri, 25 Jul 2025, Sven Schreiber wrote:
Am 25.07.2025 um 17:28 schrieb Cottrell, Allin:
> On Fri, Jul 25, 2025 at 10:22 AM Sven Schreiber
> <sven.schreiber(a)fu-berlin.de> wrote:
>> Ah, OK, from the output (included at the end) I got the clue that
>> actually the used code is in plugin/stepwise.c instead. (I had discarded
>> that possibility because that file at the top has the comment "*Forward*
>> stepwise plugin for gretl,")
>>
>> Anyway, so below there's an example output [...]
>>
> Thanks, that helps. I don't know why BIC is becoming NaN, but it's
> clear that we need to flag an error and break out of the omission loop
> with an informative message as soon as that happens. That's now
> arranged in git and I should be able to put up new snapshots within
> the next couple of hours.
Thanks, Allin. However, I think we need to get at the root of the
problem as well.
Yes, of course.
I don't see any good (=numerically realistic) reason why BIC
couldn't be computed where the pvalue could, right? So something
with the internal handling still must go wrong I believe.
It's something to do with lags. With time-series data and a
specification that includes lags (like yours), SSR goes NaN and
therefore BIC goes NaN when a regressor that's a lag is omitted.
None of our test cases to date were of this sort, so it's just as
well that you tried your experiment. I'm working on trying to
understand exactly how the bad SSR arises.
Allin