Re: [Gretl-users] Re: Gretl-users Digest, Vol 24, Issue 2
El Martes, 4 de Abril de 2006 09:21, John Paravantis PhD escribió:
Some points on the feedback appearing below:
- SPSS, Minitab etc all successfully estimate these ARIMA models and it
is left up to the user to decide how much trust should be placed with
the estimates. Gretl fails to provide an estimate and I find this annoying.
I agree with you. It is better to have a bad estimation than have no
estimation. I suppose we need a better optimization routine.
- X-12-ARIMA also manages to provide an estimate in ALL cases.
- If the data are NOT enough, then how come SOME ARIMA specifications
ARE estimated?
I do not know what models yo got estimated, I only know that the models you
sent in your previous message was not working. I suppose you may have success
with models such as ARMA(1,2,0) or ARMA(2,2,0), this models are linear, so
maximum likelihood has an analitical solution and it is equivalent to OLS. So
in this case you obtain a direct estimation. The models with a MA part (and
the ARxARs as well) are not linear and finding the maximum of the likelihood
function require an iterative optimization routine. The difference between
the estimated likelihood from one iteration to the following one may be large
if you have few data, and so the process is difficult to converge.
I also checked the message at
http://ricardo.ecn.wfu.edu/pipermail/gretl-users/2006-February/000499.html
How about making the number of iterations and tolerance available in the
dialog box version of ARIMA?
I also agree that this should be available in the GUI, but I do not know
whether is better here or in the "preferences" menu.
--
Ignacio Díaz-Emparanza
Dpto. de Economía Aplicada III (Econometría y Estadística)
UPV-EHU