[Gretl-users] For armax "diggers" Data sets for testing and a try to explain occasional armax aborting

For armax "diggers" Data sets for testing and a try to explain occasional armax aborting Data 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.9 open mod2data.gdt include armax.gfn diff u1 # max lag length =4 lags 4; g1 # subsample for equal data length whlile choosing smpl 1995:1 2013:4 list arg4 = 0 g1 g1_1 g1_2 g1_3 g1_4 list 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 ic  armax(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 script GUI's peculiar features: With arg4 and include constant chequed results are    the 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 Hessian With arg4a and include constant chequed ? armax(2, 2, d_u1, arg4a, 1, 1, 1, 1, 0) Failed to compute numerical Hessian With arg4a and include constant unchequed ? armax(2, 2, d_u1, arg4a, 1, 1, 0, 1, 0) Failed to compute numerical Hessian Further diagnostics: armax(1, 2, d_u1, arg4a, 1, 1, 1, 1, 0) works ok arma 2 1 ; d_u1 arg4a Failed to compute numerical Hessian arma 2 1 ; d_u1 arg4a --opg works ok From Command Reference(p.7) "Note that failure of the numerical Hessian computation is generally an indicator of a misspecified model". From output: AR     Root  1           1.0001 So, nothing enigmatic. Armax_auto would be more convenient if it scipped such models instead of stopping the cycle.