On Sat, 26 Jul 2014, Al wrote: > Hello everybody and thanks for your work on gretl. > > I am experimenting in porting parts of libgretl to javascript via > emscripten. After a couple of afternoons i have been able to "compile" to > javascript some unit root tests, mostly thanks to some kind soul who did > the same for GMP and mpfr and posted their work to github. > > My first intent was to verify if there are differences in the output from > the C and JS versions, and the only one I could find is this, in adf_test() > : > > diff OUTPUT_FROM_C.txt OUTPUT_FROM_JS > > 59c59 > < lagged differences: F(3, 5) = 0.395 [0.7626] > --- >> lagged differences: F(3, 5) = 0.344 [0.7954] > > 80c80 > < lagged differences: F(3, 4) = 20.327 [0.0070] > --- >> lagged differences: F(3, 4) = 1.297 [0.3904] > > (all other results, pvalues, statistics and values were the same btw) > > The results were created using the dataset generated in simple_client.c ; > the only relevant change I've made is stitching some plugin code in the > main code in order to avoid using dlopen() (which didnt work well in > emscripten). I then ran adf_test() and kpss_test() on the same dataset. > > I was wondering if you had any insights into this small discrepancy; are > the lagged differences computed using GMP or lapack? I am thinking it is a > CLAPACK+emscripten+different architecture issue. > > Output for both versions is attached. OK, the differences pertain to the F-tests on the 3 lagged differences in an augmented DF test of order 3 on the second variable in this dataset, "sqft". Here is a small script that replicates the analysis in gretl itself, using the built-in adf command and then doing the ADF regression manually: <hansl> open data4-1 setobs 1 1 --time-series adf 3 sqft diff sqft ols d_sqft 0 sqft(-1) d_sqft(-1 to -3) omit d_sqft_1 d_sqft_2 d_sqft_3 --test-only </hansl> The results agree with your OUTPUT_FROM_JS. I don't know where the errors are coming from in your OUTPUT_FROM_C.txt. GMP is certainly not used in this analysis, and I don't think lapack should get involved either. For good measure, I also tried running a C program (based on simple_client.c and linked against libgretl) which calls adf_test() as follows: <libretl-C> list[0] = 1; list[1] = 2; int err = adf_test(3, list, dataset, OPT_NONE, prn); </libgretl-C> This gives output in agreement with gretl istelf, and your JS output. Allin Cottrell _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel