[Gretl-users] Re: Var autoregression
Am 20.12.2020 um 16:34 schrieb Brian Revell:
Hi Sven
the specification was just pushing data and parameters to their limits
with specific lags of 1 3 6 and 9 years specified in the 2 dependent
variables to try to pick up some cyclical elements in the data and
with only 22 observations. I will try it dropping the lag 9 later (I
have other ARMAX results I don't want to risk losing at present until
I have finished the session) to see if it makes the difference between
crash or go!
Windows 10 OS. However, i would have expected some failure messages,
not a complete crash.
Brian
Thanks, that's already enough - I can confirm the crash here on Windows
with the latest snapshot (with 22 obs and using the GUI to enter the lag
choice "1,3,6,9", without the quotes).
Of course, with a max lag of 9 you only have 13 effective obs left and
that is just barely enough to estimate 4*2 + 2 = 10 parameters in each
equation. Nonetheless, in theory it should still work (although I
wouldn't recommend it econometrically), and needless to say a crash is
never acceptable.
I suspect that the fix will be relatively easy (for Allin, that is ;-)
cheers
sven
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