Re: [Gretl-users] ARIMA models CML
On Sat, 29 Jun 2013, Alessandro Attanasio wrote:
I have a question about ARIMA models. Let us consider, for
example, an ARIMA(3,1,3) for the time series y(t). The
parameters are estimated using the Conditional Maximum
Likelihood, so I use
arima 3 1 3 ; y --conditional
In this case the convergence criterion was not met. I'd like
change the convergence tolerance, is it possible?
You should do
set bhhh_toler 1e-4 # or choose your value
See the help for the "set" command, the section headed
"Numerical methods". (You could also try increasing the value
of bhhh_maxiter.)
Allin Cottrell