Re: [Gretl-users] OPG inversion problem
On Sun, 20 Nov 2011, Dan Běsoň wrote:
Dear everybody,
I am trying to estimate an ARMA process using MLE and then to extend it by jointly
estimating ARMA-GARCH. The following code
[...]
mle ll=-0.5*(log(h) + (e^2)/h)
series e = in - mu
params c phi1 phi2 phi3 phi4 phi5 phi6 phi7 theta1 theta2 theta3 theta4 theta5 theta6
end mle --hessian
produces an "failed to invert OPG matrix GG" error regardless of whether
I use --hessian.
Your loglikelihood is a function of h and e; e is a function of mu. None
of these are functions of the parameters you want to optimise on.
Consequently, the score matrix contains all zeros and its cross product
is a square matrix of zeros, which is notoriously hard to invert.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti