Re: [Gretl-users] Problem with convergence of ARMA and GARCH models
On Mon, 25 Oct 2004, Blaise Roncagli wrote:
I am a new user to Gretl, and am using version 1.2.9. I have
noticed
that frequently when I attempt to run an ARMA or GARCH model I get a
message "Convergence Criteria not met". I know what this means, but it
seems to happen frequently with data sets that do not experience this
problem when I use them in "R" or other packages. Is this a known
problem, or is there some parameter I need to adjust to make this go
away?
It is a known problem with gretl's GARCH function, and I think it is
fixed for the forthcoming version 1.3.0. In the meantime you should
be able to work around the problem by defining a new variable that
is a scaled version of the original dependent variable (call it Y):
genr s = sd(Y)
genr Yscale = Y/s
then run GARCH on Yscale.
As for ARMA, I'm not so sure. Could you send me an example of a
data file that is processed OK by R but not gretl? That would be
helpful in troubleshooting. Thanks.
Allin Cottrell