Re: [Gretl-users] autoreg formula and bessel function
On Sun, 14 Jun 2009, Klein, Christoph wrote:
I'm using the autoreg feature of gretl quite often. Recently I
came across some inconsistencies when combining lagged and
non-lagged series within functions. I have attached a sample
script that creates 3 series using different autoreg statements.
Mathematically these statements are equivalent, but they yield
different results.
For the last statement, gretl caches the initial result of the
fracdiff call and recycles these results for each autoregression
iteration. I have attached a one-line patch which disables this
behaviour.
I think your change is correct, and I've committed it to CVS.
Jack, could you confirm this?
Additionaly for my diploma thesis I have added a command to
gretl which computes the bessel function. The function is
implemented using the gsl library. I would like to contribute
this to gretl, too, but I don't know how you feel about linking
against gsl? I have seen that you use a copy of cephes functions
for some calculations, but AFAIK cephes doesn't provide bessel
functions for non-integer orders. If this has a chance of
inclusion I will clean up my implementation, write some docs and
submit this as a patch.
Thanks! For the present, however, I would prefer not to add a
dependency on libgsl. I'll take a look at the cephes bessel code;
I think it does handle non-integer orders, though perhaps not as
fully as gsl.
Allin Cottrell