Hi,
with a recent snapshot I'm seeing weird behavior when playing around
with the relatively new auto-omit option through BIC. Sorry, I cannot
provide a self-contained example with public data yet. This is with
7-days-daily data.
First, what I'm seeing is that with --auto=BIC the constant term is
eliminated. It doesn't do that with --auto=0.05 and in this data it
doesn't seem to make sense. I thought that the constant is always kept,
at least per default?
Along the elimination sequence I'm seeing: " Drop const BIC = 1.#QNAN"
... this already looks fishy, something going wrong here? There are more
lines with the BIC = 1.#QNAN value.
And then at the end gretl tells me:
"Test statistic: F(30, 128) = 157.789, p-value 5.72395e-087
Omitting variables improved 0 of 3 information criteria."
Needless to say, the resulting model is very dubious.
Maybe this information already helps a little to diagnose the problem.
thanks
sven
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