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?
This is a known issue for GARCH models, and some modifications that
somewhat alleviate the problem are already in the CVS version. For ARMA
models, this should happen far less frequently. Could you post an example?
Riccardo `Jack' Lucchetti
Dipartimento di Economia
Università di Ancona
jack(a)dea.unian.it
http://www.econ.unian.it/lucchetti