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.