There's a possibility of risk that one could think that ma-term could be of importance, so I'd rather add open very_bad_data10.gdt n = $nvars - 1 scalar number_of_non_convergence = 0 loop i= 1..n -q nami = sprintf("var%d",i) kpss -1 @nami catch arima 1 0; @nami err = $error if err    number_of_non_convergence +=1 endif endloop printf "\nThe total number of variable in the datafile = %d\n", n printf "\nThe number of non-convergent arma(1,0) models = %d\n", n #################################################### test1 = randint(1,16) testnami = sprintf("var%d",test1) catch arima 1 0; @testnami --verbose eval mean(@testnami) arima 1 0; @testnami --x-12-arima matrix ma = {mean((a)testnami),0.001} set initvals ma arima 1 0; @testnami Oleh 13 листопада 2018, 16:11:28, від oleg_komashko(a)ukr.net: Dear Allin, To see the problem, use the attached data file and run the chunk of code below <hansl> ##################################################### ###### run 2 chancks separately open very_bad_data.gdt # let we decide that series y # is staionary  if kpss p-value # is greater than 0.01 # this means that # arima 2 1; y # is by no means apriory misspecified n = $nvars - 1 scalar number_of_non_convergence = 0 loop i= 1..n -q nami = sprintf("var%d",i) kpss -1 @nami catch arima 2 1; @nami err = $error if err    number_of_non_convergence +=1 endif endloop printf "\nThe total number of variable in the datafile = %d\n", n printf "\nThe number of non-convergent arma(2,1) models = %d\n", n ########################################################## ########################################################## test1 = randint(1,81) testnami = sprintf("var%d",test1) arima 2 1; @testnami --verbose eval mean(@testnami) arima 2 1; @testnami --x-12-arima ### what to compare: # 1) final values of arma parameters # with --x-12-arima estimates # 2) compare initial constant with # (i) final value of constant # (ii) mean of the series # (iii) with --x-12 constant estimate # it seems there are serious problems # with initial value for constant <hansl> Oleh _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel

1) standardize y , let stdy = (y-mean(y))/sd(y) 2) use existing algorithm for starting values in arima... ; stdy --nc 3) use z = stdy + 1 and use1|{starting values from 2} as starting values for arima ....; z 4) recompute constant, z-stat at constant, lnl, etc Oleh 13 листопада 2018, 17:40:31, від oleg_komashko(a)ukr.net: Insert after the previous script, run and look up at the number of iterations set initvals ma arima 1 0; @testnami --verbose series y = @testnami - mean(@testnami) arima 1 0; y --nc -q matrix b0 = $coeff matrix ma2 = 0.0001|b0 set initvals ma2 arima 1 0; @testnami --verbose z = (y-mean(y))/sd(y)+1 matrix ma3 = 1|b0 set initvals ma3 arima 1 0; z --verbose Oleh 13 листопада 2018, 17:06:04, від oleg_komashko(a)ukr.net: There's a possibility of risk that one could think that ma-term could be of importance, so I'd rather add open very_bad_data10.gdt n = $nvars - 1 scalar number_of_non_convergence = 0 loop i= 1..n -q nami = sprintf("var%d",i) kpss -1 @nami catch arima 1 0; @nami err = $error if err    number_of_non_convergence +=1 endif endloop printf "\nThe total number of variable in the datafile = %d\n", n printf "\nThe number of non-convergent arma(1,0) models = %d\n", n #################################################### test1 = randint(1,16) testnami = sprintf("var%d",test1) catch arima 1 0; @testnami --verbose eval mean(@testnami) arima 1 0; @testnami --x-12-arima matrix ma = {mean((a)testnami),0.001} set initvals ma arima 1 0; @testnami Oleh 13 листопада 2018, 16:11:28, від oleg_komashko(a)ukr.net: Dear Allin, To see the problem, use the attached data file and run the chunk of code below <hansl> ##################################################### ###### run 2 chancks separately open very_bad_data.gdt # let we decide that series y # is staionary  if kpss p-value # is greater than 0.01 # this means that # arima 2 1; y # is by no means apriory misspecified n = $nvars - 1 scalar number_of_non_convergence = 0 loop i= 1..n -q nami = sprintf("var%d",i) kpss -1 @nami catch arima 2 1; @nami err = $error if err    number_of_non_convergence +=1 endif endloop printf "\nThe total number of variable in the datafile = %d\n", n printf "\nThe number of non-convergent arma(2,1) models = %d\n", n ########################################################## ########################################################## test1 = randint(1,81) testnami = sprintf("var%d",test1) arima 2 1; @testnami --verbose eval mean(@testnami) arima 2 1; @testnami --x-12-arima ### what to compare: # 1) final values of arma parameters # with --x-12-arima estimates # 2) compare initial constant with # (i) final value of constant # (ii) mean of the series # (iii) with --x-12 constant estimate # it seems there are serious problems # with initial value for constant <hansl> Oleh _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel