Greetings, dear developers!
Please consider the following humble code I am trying use to illustrate the usefulness of a whole portfolio of models compared by AIC. What I am expecting: (1) generate a true ARMA(2,2) model, (2) run a loop with i=1..5 and j=1..5 for ARMA estimation and obtain the AIC’s for those, (3) the result should look like those “long” models like ARMA(5,5) include more redundant lags and they will be punished by Akaike and its DOF loss penalty.
However, on Linux Debian (testing, both x32 and x64) the 1.9.14 (build 2014-03-19) version crashes and quits without any warning when the following script is run:
##########
nulldata 500
setobs 1 1 --special-time-series
genr time
set seed 20140413
series wn = randgen(n,0,1)
# ARMA(2,2) model, seems both stationary and invertible
series z = 4.5
z = 1 + 0.25*z(-1) + 0.55*z(-2) + wn + 0.5*wn(-1) + 0.5*wn(-2)
# The beast
loop i=1..5 --progressive
loop j=1..5 --progressive
arima $i 0 $j ; z
printf "Akaike criterion: %f\n", $aic
endloop
endloop
##########
Same problem if *arma* command is used.
I tried to run it on the current snapshot (1.9.15cvs b.2014-04-04) for Windows x32, but to no avail: the message given before the crash is “MS Visual C++ Runtime Library: This application has requested the Runtime to terminate it in an unusual way”.