[Gretl-users] testing : For armax "diggers" Data sets for testing and a try to explain occasional armax aborting

yinung at Gmail yinung.cycu at gmail.com
Wed Sep 3 23:49:46 EDT 2014


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 should be solved. With the option "include a constant," no
matter exogenous list has a constant or not, a constant is always included.

Thanks for your comments and useful suggestions

Yi-Nung Yang
IB department, CYCU, Taiwan.



2014-09-04 5:08 GMT+08:00 <oleg_komashko at 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' suggests 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 at 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 at 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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