[Gretl-users] autoreg formula and bessel function

Allin Cottrell cottrell at wfu.edu
Sun Jun 14 12:21:41 EDT 2009


On Sun, 14 Jun 2009, Klein, Christoph wrote:

> 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 think your change is correct, and I've committed it to CVS.
Jack, could you confirm this?

> 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 the present, however, I would prefer not to add a
dependency on libgsl.  I'll take a look at the cephes bessel code;
I think it does handle non-integer orders, though perhaps not as
fully as gsl.

Allin Cottrell


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