Re: [Gretl-users] convergence tolerance
On Sun, 6 Mar 2011, Sam Sam wrote:
When I estimate ARIMA by conditional maximum likelihood,
the convergence tolerance I choose is 1.00E-2
(max interations is 500 )
Is it too high?
That is certainly an unsually "sloppy" tolerance level. If you
don't get convergence with a tolerance a few orders of magnitude
smaller, I would suspect misspecification. You can try the
--verbose switch to the arma command to see what's going on in
more detail. You can also try exact ML, with or without the
--fcp switch. And there's always the --x-12-arima option for a
second opinion.
Allin Cottrell