Dear all,

Thanks for finding "armax" package useful. I eventually got time to solve this beta release. I've just released a patch in which "occasional armax aborting" should be fixed. Please give a trial.2014-05-21 19:07 GMT+08:00 <oleg_komashko@ukr.net>:

For armax "diggers"Data sets for testing and a try to explain occasional armax abortingData file attached# Script to select lag length in regression of d_u on lagged g# u-unimployment (%) g-gdp rate (%)## begin script# "Okun law" artifical data similar to POE-4, ch.9open mod2data.gdtinclude armax.gfndiff u1# max lag length =4lags 4; g1# subsample for equal data length whlile choosingsmpl 1995:1 2013:4list arg4 = 0 g1 g1_1 g1_2 g1_3 g1_4list arg4a = g1 g1_1 g1_2 g1_3 g1_4# uncomment for lag length selection# list arg3 = g1 g1_1 g1_2 g1_3# list arg2 = g1 g1_1 g1_2# list arg1 = g1 g1_1# list arg0 = 0 g1# works ok on my system, ARMA(0,1) by all icarmax(2, 2, d_u1, arg4, 1, 1, 1, 1, 0)# gives "Failed to compute numerical Hessian"armax(2, 2, d_u1, arg4a, 1, 1, 1, 1, 0)# armax(2, 2, d_u1, arg3, 1, 1, 0, 1, 0)# armax(2, 2, d_u1, arg2, 1, 1, 0, 1, 0)# armax(2, 2, d_u1, arg1, 1, 1, 0, 1, 0)# armax(2, 2, d_u1, arg0, 1, 1, 0, 1, 0)## end scriptGUI's peculiar features:With arg4 and include constant chequed results arethe same as for script armax(2, 2, d_u1, arg4, 1, 1, 1, 1, 0)With arg4 and incl. const unchequed? armax(2, 2, d_u1, arg4, 0, 1, 0, 1, 0)Failed to compute numerical HessianWith arg4a and include constant chequed? armax(2, 2, d_u1, arg4a, 1, 1, 1, 1, 0)Failed to compute numerical HessianWith arg4a and include constant unchequed? armax(2, 2, d_u1, arg4a, 1, 1, 0, 1, 0)Failed to compute numerical HessianFurther diagnostics:armax(1, 2, d_u1, arg4a, 1, 1, 1, 1, 0) works okarma 2 1 ; d_u1 arg4a Failed to compute numerical Hessianarma 2 1 ; d_u1 arg4a --opg works okFrom Command Reference(p.7) "Note that failure of the numericalHessian computation is generally an indicator of a misspecified model".From output:ARRoot 1 1.0001So, nothing enigmatic.Armax_auto would be more convenient if it scipped such modelsinstead of stopping the cycle.!

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