On Sat, 26 Jul 2014, Al wrote:
Hello everybody and thanks for your work on gretl.
emscripten. After a couple of afternoons i have been able to "compile" to
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
< lagged differences: F(3, 5) = 0.395 [0.7626]
> lagged differences: F(3, 5) = 0.344 [0.7954]
< 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
setobs 1 1 --time-series
adf 3 sqft
ols d_sqft 0 sqft(-1) d_sqft(-1 to -3)
omit d_sqft_1 d_sqft_2 d_sqft_3 --test-only
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
list = 1;
list = 2;
int err = adf_test(3, list, dataset, OPT_NONE, prn);
This gives output in agreement with gretl istelf, and your JS output.