On Sat, 24 Nov 2018, oleg_komashko(a)ukr.net wrote: We are in fact setting a sloppy tolerance when we use NLS in arma_init, since quite recently -- see arma_init.c, line 1401: libset_set_double(NLS_TOLER, 1.0e-5); That can be compared with the default, namely pow(DBL_EPSILON, .75), which is about 1.82e-12. Perhaps it should be sloppier still. But gretl is open source, no need to guess what we're doing or not doing! Allin

Dear Allin, It seems I am too stupid in  C: I have made libset_set_double(NLS_TOLER, 1.0e-5); reconfigured ... and nothing changed By the way, such cases are very rare: about 10 in all ~300000 estimated on gretl sample data models In all cases this gave convergence if err                if p > 0                    mss = y - mean(y)                    maxlag = 2*(p+q)                    ols mss mss(-1 to -maxlag) -q                    uh = $uhat                    ols mss mss(-1 to -p) uh(-1) -q                    matrix b0 = $coeff                    #                 print p q                    if nelem(b0) >= p                        b1 = adj_armacoeff(b0[1:p],1.01,null,"ar")                    else                        b1 = adj_armacoeff(b0,1.01,null,"ar")|(0.0001*ones(p-nelem(b0),1))                    endif                    inits = shift|b1                    if P  > 0                        inits = inits|(0.0001*ones(P,1))                    endif                    if q == 1                        if nelem(b0) > p                            inits = inits|adj_armacoeff(b0[p+1],1.01,null,"ma")                        else                            inits = inits|0.0001                        endif                    endif                    if Q > 0                        inits = inits|(0.0001*ones(Q,1))                    endif                    return inits                else                    return (0.0001*ones(p+q+P+Q,1))                endif            endif Here err > 9 if arima failed to compute initial values p,q,/p,Q - arma parameters adj_armacoeff() is from arima_sim.gfn It make all roots to be outside the unit circle The attachment contains all functions I used (it depends on arima_sim) Main functions are armainit10/11, arma_robust2 () arma_robust2 was used in about 10 cases out of ~300000 when using shifting/scaling + armainit failed Idea: Increasing tolerance is a kind of penalizing lnl so such models will not be selected At the other hand they can be diagnosed as bad by standard means and not by the fact of non-convergence Oleh 24 листопада 2018, 23:05:58, від "Allin Cottrell" <cottrell(a)wfu.edu&gt;: On Sat, 24 Nov 2018, oleg_komashko(a)ukr.net wrote: We are in fact setting a sloppy tolerance when we use NLS in arma_init, since quite recently -- see arma_init.c, line 1401: libset_set_double(NLS_TOLER, 1.0e-5); That can be compared with the default, namely pow(DBL_EPSILON, .75), which is about 1.82e-12. Perhaps it should be sloppier still. But gretl is open source, no need to guess what we're doing or not doing! Allin