On Fri, 23 Mar 2012, Riccardo (Jack) Lucchetti wrote:
On Fri, 23 Mar 2012, Daniel Bencik wrote:
> However, Im gettin into a problem (again!). The estimation does
not
> converge. For some simpler specifications ( I mean simpler than
> ARMA(7,5)-GARCH(1,1)-t ) I was able to help the algo to converge by setting
> different parameter starting values. However, with this complicated model,
> even when I set the initial values equal to "true" values found by eviews,
> the algo still does not converge.
With all due respect:
1) Unless you have over one billion observations, then estimating an
ARMA(7,5) model is asking for trouble
2) I wouldn't put my life in the hands of Eviews' optimising algorithms.
To expand on Jack's point 2) a little: it's possible that
Eviews' algorithm is more effective in finding the MLE in this
case, but it's also possible that Eviews is using a relatively
sloppy criterion for reporting a claimed MLE. Before
concluding that Eviews is giving you "true" values, you should
look at the gradients at "convergence".
In gretl, use the --verbose switch with the mle command to see
what's happening in detail. You might -- or might not -- see
that gretl is finding a log-likelihood comparable to Eviews'
maximum, but is not reporting convergence based on the
gradient criterion. If you find that Eviews is in fact
reaching a proper solution with a greater log-likelihood than
gretl is able to find, that would be worth reporting back to
us.
Allin Cottrell