abnormal data
Posted: Mon Nov 21, 2011 10:27 pm
This data series fits ARIMA(2,1,2) (2,1,3) (2,1,0) well but when fit to ARIMA(2,1,1),
it shows
Code: Select all
BOXJENK(DIFFS=1,CONST,MAXL,AR=2,MA=1) FF(860)
it shows
Code: Select all
Box-Jenkins - Estimation by ML Gauss-Newton
NO CONVERGENCE IN 34 ITERATIONS
LAST CRITERION WAS NA
SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT.
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR.
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK
Dependent Variable FF(860)
Quarterly Data From 1947:03 To 2009:01
Usable Observations 247 Degrees of Freedom 243
Centered R**2 0.999675 R Bar **2 0.999671
Uncentered R**2 1.000000 T x R**2 247.000
Mean of Dependent Variable 1525.3101440
Std Error of Dependent Variable 51.7851847
Standard Error of Estimate 0.9392664
Sum of Squared Residuals 214.37977560
Log Likelihood -333.97894
Durbin-Watson Statistic 1.917688
Q(36-3) 36.922992
Significance Level of Q 0.29240369
Variable Coeff Std Error T-Stat Signif
********************************************************************************
1. CONSTANT NA 0.000000 0.00000 0.00000000
2. AR{1} NA 0.000000 0.00000 0.00000000
3. AR{2} NA 0.000000 0.00000 0.00000000
4. MA{1} NA 0.000000 0.00000 0.00000000