[Gretl-users] autoreg formula and bessel function

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Sun Jun 14 17:23:19 EDT 2009


On Sun, 14 Jun 2009, Allin Cottrell wrote:

> 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?

IIRC, the reason the source code had the "starting(p)" clause was because 
of performance reasons. I'm all in favour of syntax consistency and, as a 
consequence, I welcome the change (oh, and by the way, thanks Christoph, 
nice job!); however, IMO some testing is needed to see what the impact on 
speed is.

That said, I think that statements like "series y = 1 + y(-1)" are ok for 
quick-n-dirty jobs, but for more general arma-like manipulations of time 
series (especially in scripts) I'd strongly advise everyone to use the 
recently introduced "filter" function.

>> 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.

On the subject of special functions: I've been thinking for a while that 
the beta and digamma functions could also be quite handy. Now, if 
Chreistoph had a little time to spare... :-)


Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche

r.lucchetti at univpm.it
http://www.econ.univpm.it/lucchetti


More information about the Gretl-users mailing list