[Gretl-users] MLE Failure in Local Whittle Estimation

Hello, i have tried to re-consturct gretl's calculation code for the local whittle estimation via the mle-command and i am getting very often the failure: --- Using numerical derivatives Tolerance = 1.81899e-012 failed to invert OPG matrix GG' --- Has anyone an idea how i can solve the problem or avoid it? The last value before the failure for d in log-likelihood function is normally ok...but how can i avoid gretl stopping the optimization? My code is this: ------------ #getting a series y series e=normal() series y=fracdiff(e,-1) #defining bandwith m scalar m=ceil($nobs^(0.6)) #getting the periodogram Y={y} F=fft(Y) S=sumr(F.^2) S = S[2:(m)+1]/($nobs/2) omega=seq(1,(m))'.*(2*pi / $nobs) #defining starting values scalar d=-1.0 scalar z=8.0 mle ll = ln((h + r))*(-1) matrix t=z*(omega).^(-2*d) matrix lt=ln(t) matrix iota=ones(m,1) matrix st=S*transp(t.^(-1)) matrix std=diag(st) series h = transp(iota)*lt series r = transp(iota)*std params d z end mle ------------ Thank you so much in advance! Kindest regards _________________________________________________________________ http://redirect.gimas.net/?n=M1003xHotmail2 Alles in einem Postfach – Ich will Hotmail!