[Gretl-users] Gretl crashes while doing a nested ARIMA loop

[Andreï | Андрей Викторович]

Greetings, dear developers!

Please consider the following humble code I am trying use to illustrate the
usefulness of a whole portfolio of models compared by AIC. What I am
expecting: (1) generate a true ARMA(2,2) model, (2) run a loop with i=1..5
and j=1..5 for ARMA estimation and obtain the AIC’s for those, (3) the
result should look like those “long” models like ARMA(5,5) include more
redundant lags and they will be punished by Akaike and its DOF loss penalty.
However, on Linux Debian (testing, both x32 and x64) the 1.9.14 (build
2014-03-19) version crashes and quits without any warning when the
following script is run:
##########
nulldata 500
setobs 1 1 --special-time-series
genr time

set seed 20140413
series wn = randgen(n,0,1)

# ARMA(2,2) model, seems both stationary and invertible
series z = 4.5
z = 1 + 0.25*z(-1) + 0.55*z(-2) + wn + 0.5*wn(-1) + 0.5*wn(-2)

# The beast
loop i=1..5 --progressive
    loop j=1..5 --progressive
    arima $i 0 $j ; z
    printf "Akaike criterion: %f\n", $aic
    endloop
endloop
##########

Same problem if *arma* command is used.
I tried to run it on the current snapshot (1.9.15cvs b.2014-04-04) for
Windows x32, but to no avail: the message given before the crash is “MS
Visual C++ Runtime Library: This application has requested the Runtime to
terminate it in an unusual way”.

What can I do in order to avoid this mishap and sort of estimate ARMA(i,j)
for various $i and $j in a loop?

Best wishes,
Andreï V. Kostyrka

--
С уважением,
—Андрей Викторович Костырка.—
http://kostyrka.ru, http://kostyrka.ru/blog

Greetings, dear developers!

Please consider the following humble code I am trying use to illustrate the usefulness of a whole portfolio of models compared by AIC. What I am expecting: (1) generate a true ARMA(2,2) model, (2) run a loop with i=1..5 and j=1..5 for ARMA estimation and obtain the AIC’s for those, (3) the result should look like those “long” models like ARMA(5,5) include more redundant lags and they will be punished by Akaike and its DOF loss penalty.

However, on Linux Debian (testing, both x32 and x64) the 1.9.14 (build 2014-03-19) version crashes and quits without any warning when the following script is run:
##########
nulldata 500
setobs 1 1 --special-time-series
genr time

set seed 20140413
series wn = randgen(n,0,1)

# ARMA(2,2) model, seems both stationary and invertible
series z = 4.5
z = 1 + 0.25*z(-1) + 0.55*z(-2) + wn + 0.5*wn(-1) + 0.5*wn(-2)

# The beast
loop i=1..5 --progressive
    loop j=1..5 --progressive
    arima $i 0 $j ; z
    printf "Akaike criterion: %f\n", $aic
    endloop
endloop
##########

Same problem if *arma* command is used.

I tried to run it on the current snapshot (1.9.15cvs b.2014-04-04) for Windows x32, but to no avail: the message given before the crash is “MS Visual C++ Runtime Library: This application has requested the Runtime to terminate it in an unusual way”.

What can I do in order to avoid this mishap and sort of estimate ARMA(i,j) for various $i and $j in a loop?

Best wishes,

Andreï V. Kostyrka

--
С уважением,
—Андрей Викторович Костырка.—
http://kostyrka.ru, http://kostyrka.ru/blog