Re: [Gretl-users] GMM run finishes with no output
On Mon, 8 Nov 2010, Ofer Cornfeld wrote:
I have been running GMM for a while with great results but
sometimes the run finishes the following line is printed, with
no further output
Tolerance = 1e-018
Thanks for the report. What happened in the case where you saw no
output was that the "outer" iteration of iterated GMM failed to
converge. Normally you would see an error message in that case:
"The convergence criterion was not met"
but this was suppressed by your specification
set halt_on_error off
That was a bug: setting halt_on_error to "off" should stop gretl
from aborting the execution of a script on error, but it shouldn't
stop the printing of error messages; this is now fixed in CVS and
snapshots.
More substantively, the problem in this case was that the outer
GMM iteration had not converged within 200 iterations, where the
somewhat arbitrary maximum of 200 was hard-wired. In CVS and
snapshots I've done two things: (1) raised the maximum to 250, and
(2) provided a "set" variable, "gmm_maxiter", to control this
parameter. So, if you see the non-convergence error message from
iterated GMM and want gretl to try harder, you can now do, for
example,
set gmm_maxiter 500
and try again.
Allin Cottrell