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

[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. 

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.

!

mod2data.gdt
Description: Binary data