IB department, CYCU, Taiwan.Yi-Nung YangThanks for your comments and useful suggestionsNow this problem should be solved. With the option "include a constant," no matter exogenous list has a constant or not, a constant is always included.Dear all,Thanks for quick testing and suggestions.
>>>with the 5th argument to armax With "0" it excludes constant even if it is in exogenous list.
This was originally to mimic command "arima" with no constant,",--nc, option.
>>>But if exogenous list doesn't include constant, "1" do nothing and model estimated without constant2014-09-04 5:08 GMT+08:00 <oleg_komashko@ukr.net>:Script works OK. Perfectly what I wanted to see. It seems a minor problem still here.With the same dataset1)? armax(2, 2, d_u1, arg4, 1, 1, 0, 1, 0)===============================================Information Criteria of ARMAX(p,q) for d_u1-----------------------------------------------p, q AIC BIC HQC-----------------------------------------------0, 0 -37.3129 -23.3285 -31.72410, 1 -42.3039* -23.6580* -34.8521*0, 2 -40.3043 -19.3277 -31.92101, 0 -41.6550 -23.0091 -34.20321, 1 -40.3044 -19.3278 -31.92121, 2 -38.4888 -15.1814 -29.17402, 0 -39.9916 -19.0150 -31.60842, 1 -41.8505 -18.5432 -32.53582, 2 -40.0419 -14.4038 -29.7956===============================================* indicates best models.'9999.9999' suggests failures to estimate the models.2)? armax(2, 2, d_u1, arg4, 0, 1, 0, 1, 0)Failed to compute numerical Hessiantarmax: Got error 35 (Not a Number in calculation) while p=2,q=1===============================================Information Criteria of ARMAX(p,q) for d_u1-----------------------------------------------p, q AIC BIC HQC-----------------------------------------------0, 0 20.9510 32.6047 25.60840, 1 -7.6589 8.6562 -1.13860, 2 -11.3398 7.3061 -3.88801, 0 -21.4701 -5.1549 -14.94981, 1 -29.2140 -10.5681 -21.76221, 2 -33.8166 -12.8400* -25.4334*2, 0 -20.7024 -2.0566 -13.25062, 1 99999.9999 99999.9999 99999.99992, 2 -33.8851* -10.5778 -24.5704===============================================* indicates best models.'9999.9999' suggests failures to estimate the models.3) ? armax(2, 2, d_u1, arg4a, 1, 1, 0, 1, 0) the same as 2)4) ? armax(2, 2, d_u1, arg4a, 0, 1, 0, 1, 0) the same as 2)List arg4a is the same as arg4 only constant dropped. So it seems there is problemwith the 5th argument to armax With "0" it excludes constant even if it is in exogenous list.But if exogenous list doesn't include constant, "1" do nothing and model estimated without constantI think the simplest way to correct is as followscheck if there is a constant in the exogenous variables list, drop itwith "1" add "0" to arma (e.g. arma 2 2 ; d_u1 0 arg4a)or add constant to the list and don't use "0" in armaThe exact way of interaction should included in help
Another way: this argument can be dropped and help should tellthat constant can be included in ex.var. list
!02 вересня 2014, 07:19:47, Автор yinung at Gmail <yinung.cycu@gmail.com>:Department of IB, CYCU, Taiwan.Associate ProfessorYi-Nung Yang (楊奕農)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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