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Fix test gmm poisson #1550

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merged 2 commits into from Apr 4, 2014

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commented Apr 4, 2014

fixes the test failures on scipy >= 0.13 in #1420

use log-linear OLS as starting values for GMM-Poisson

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commented Apr 4, 2014

Ah, good. That was easy. Odd that starting values matter so much between scipy versions only?

jseabold added a commit that referenced this pull request Apr 4, 2014

Merge pull request #1550 from josef-pkt/fix_test_gmm_poisson
TST: Better starting values fix convergence failures.

@jseabold jseabold merged commit 051c9ce into statsmodels:master Apr 4, 2014

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commented Apr 4, 2014

Odd that starting values matter so much between scipy versions only?

I was going through the stepsize code in scipy optimize again, with pdb this time.
Because of the exp the gradient is large when we are too far away from the optimum, and the exp overflows pretty fast. But I didn't find an obvious way to limit the stepsize in scipy.
stepsize is the only code that changed in scipy 0.13 AFAICS.
inf and nan handling might have changed in scipy 0.10, IIRC.

BTW: Now that Optimizer is merged, I can switch to using it in GMM. I wanted to see if lbfgs is better, but it's not connected to GMM.

BTW: Given that I was reading about Poisson versus log-linear OLS, I realized that log-linear OLS makes pretty good starting values. TODO for discrete.

@josef-pkt josef-pkt added the PR label Apr 14, 2014

PierreBdR pushed a commit to PierreBdR/statsmodels that referenced this pull request Sep 2, 2014

Merge pull request statsmodels#1550 from josef-pkt/fix_test_gmm_poisson
TST: Better starting values fix convergence failures.

@josef-pkt josef-pkt deleted the josef-pkt:fix_test_gmm_poisson branch Jul 27, 2015

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