Re: [Gretl-users] Changing the limits of the ARMA estimation
On Mon, February 13, 2006 17:51, Ignacio Díaz-Emparanza wrote:
I have a multiplicative ARMA model that seems difficult to estimate
as is
actually not converging. I know that usually it means that the specification
of the model is not good, but I think in this case if I augment the limit of
iterations it will soon converge.
Is there a way of doing that? and, Is there a way of changing the tolerance
criterium for ARMA models?
I think both things could be made configurable via the "set" command easily.
I'll let you know as soon as I manage to work on it.
However, I'm a little wary of the numerical problems that might arise if you
tried to estimate a monster such as, for example, an ARMA(25,30). What would
you think is an upper limit we shouldn't exceed in any case?
--
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona