Re: [Gretl-users] Variable selection
Am 18.06.2018 um 10:45 schrieb Sven Schreiber:
Am 16.06.2018 um 19:11 schrieb Riccardo (Jack) Lucchetti:
>
> I guess that the computational cost of the combinatorics is probably
> comparable to the actual CPU usage for estimation. For example:
>
I was surprised by this statement, but for all variables (except the
LHS WW) in the dataset from mroz87.gdt I get this:
t0 = 0.32339221 # producing all combinations
t1 = 31.887871 # estimating them
So I think it's not necessary to implement the powerset thing in C
(but wouldn't hurt of course).
BTW, it seems I was able to crash gretl by cranking up the input length
to these power set functions. First the (Ubuntu) system became very
unresponsive in the GUI, and after a while all gretl windows
disappeared. I guess gretl was requesting too much memory or something
like that; maybe some internal checks are needed to catch such a case
when a hansl user function is too crazy.
thanks,
sven