Dear Yi-Nung Yang, Now everything is perfect both with the GUI and the script. Are you
planning to generalize to seasonal ARMA? A possible way is to translate Hyndman's
approach in his autoarima{forecast} in R.
04 вересня 2014, 06:50:13, Автор yinung at Gmail < yinung.cycu(a)gmail.com >:
Dear all,
Thanks for quick testing and suggestions.
>>with the 5th argument to armax With "0" it excludes
constant even if it is in exogenous list.
This was originally to mimic command
"arima" with no constant,",--nc, option.
>>But if exogenous list doesn't include constant,
"1" do nothing and model estimated without constant Now this problem sho uld be
solved . With the option "include a constant ," no matter exogenous list has a
constant or not, a constant is always in cluded .
Thanks for your comments and useful suggestions
Yi-Nung Yang
IB department, CYCU, Taiwan.
2014-09-04 5:08 GMT+08:00 < oleg_komashko(a)ukr.net > :
Script works OK. Perfectly what I wanted to see. It seems a minor problem still here.
With the same dataset 1) ? armax(2, 2, d_u1, arg4, 1, 1, 0, 1, 0)
=============================================== Information Criteria of ARMAX(p,q) for
d_u1 ----------------------------------------------- p, q AIC BIC
HQC ----------------------------------------------- 0, 0 -37.3129 -23.3285
-31.7241 0, 1 -42.3039* -23.6580* -34.8521* 0, 2 -40.3043
-19.3277 -31.9210 1, 0 -41.6550 -23.0091 -34.2032 1, 1
-40.3044 -19.3278 -31.9212 1, 2 -38.4888 -15.1814 -29.1740 2,
0 -39.9916 -19.0150 -31.6084 2, 1 -41.8505 -18.5432
-32.5358 2, 2 -40.0419 -14.4038 -29.7956
=============================================== * indicates best models.
'9999.9999' suggests failures to estimate the models. 2) ? armax(2, 2, d_u1,!
arg4, 0, 1, 0, 1, 0) Failed to compute numerical Hessian tarmax: Got error 35 (Not a
Number in calculation) while p=2,q=1 ===============================================
Information Criteria of ARMAX(p,q) for d_u1
----------------------------------------------- p, q AIC BIC
HQC ----------------------------------------------- 0, 0 20.9510 32.6047
25.6084 0, 1 -7.6589 8.6562 -1.1386 0, 2 -11.3398 7.3061
-3.8880 1, 0 -21.4701 -5.1549 -14.9498 1, 1 -29.2140
-10.5681 -21.7622 1, 2 -33.8166 -12.8400* -25.4334* 2, 0
-20.7024 -2.0566 -13.2506 2, 1 99999.9999 99999.9999 99999.9999 2,
2 -33.8851* -10.5778 -24.5704
=============================================== * indicates best models.
'9999.9999' suggest!
s failures to estimate the models. 3) ? armax(2, 2, d_u1, arg4a, 1, 1
, 0, 1, 0) the same as 2) 4) ? armax(2, 2, d_u1, arg4a, 0, 1, 0, 1, 0) the same as 2) List
arg4a is the same as arg4 only constant dropped. So it seems there is problem with the 5th
argument to armax With "0" it excludes constant even if it is in exogenous list.
But if exogenous list doesn't include constant, "1" do nothing and model
estimated without constant I think the simplest way to correct is as follows check if
there is a constant in the exogenous variables list, drop it with "1" add
"0" to arma (e.g. arma 2 2 ; d_u1 0 arg4a) or add constant to the list and
don't use "0" in arma The exact way of interaction should included in help
Another way: this argument can be dropped and help should tell that constant can be
included in ex.var. list
02 вересня 2014, 07:19:47, Автор yinung at Gmail < yinung.cycu(a)gmail.com >:
Dear all,
Thanks for finding "armax" package useful. I eventually got time to solve this
beta release. I've just released a patch in which " occasional armax
aborting" should be fixed. Please give a trial.
Yi-Nung Yang (楊奕農)
Associate Professor
Department of IB, CYCU, Taiwan.
2014-05-21 19:07 GMT+08:00 < oleg_komashko(a)ukr.net > :
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. !
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