Dear all:
I estimate ARIMA(2,1,1,)(1,1,1) by conditional maximum likelihood using convergence tolerance 1.0E-6 and 1.0E-2
The two outcome using different convergence tolerance are similar.
So why convergence tolerance 1.0E-2 may be too high? (the outcome is similar to 1.0E-6)
Is it any resonable range of convergence tolerance?
Is the model must misspecificated when convergence tolerance is 1.0E-2 ?