[Gretl-users] autoreg formula and bessel function

Klein, Christoph christoph.klein at student.kit.edu
Sun Jun 14 09:43:39 EDT 2009


Hi,

I'm using the autoreg feature of gretl quite often. Recently I came across some inconsistencies when combining lagged and non-lagged series within functions. I have attached a sample script that creates 3 series using different autoreg statements. Mathematically these statements are equivalent, but they yield different results.
For the last statement, gretl caches the initial result of the fracdiff call and recycles these results for each autoregression iteration. I have attached a one-line patch which disables this behaviour. 
I must admit that i'm new to gretl, so I don't know whether this behaviour is not a bug but a feature nor can I maesure the effect of this patch on other parts of the code. But IMHO all equivalent expressions should yield the same results.
Additionaly for my diploma thesis I have added a command to gretl which computes the bessel function. The function is implemented using the gsl library. I would like to contribute this to gretl, too, but I don't know how you feel about linking against gsl? I have seen that you use a copy of cephes functions for some calculations, but AFAIK cephes doesn't provide bessel functions for non-integer orders. If this has a chance of inclusion I will clean up my implementation, write some docs and submit this as a patch.

Thanks for your help,
Christoph
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