Re: [Gretl-users] AR-GARCH-t MLE
Hello guys,
on a last note. I had minor misspecifications in the ll function, so the right one for
arma-garch is
<hansl>
mle ll = lngamma((dof + 1)/2) - lngamma(dof/2) - 0.5*log(dof-2) - 0.5*log(h) - 0.5*(dof
+ 1)*log(1 + (dof - 2)^(-1)*h^(-1)*e^2)
</hansl>
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. Is there a way of finding out why this happens and/or tweaking
the optimization algo?
Thank you,
Daniel
______________________________________________________________
> Od: gretl-users-request(a)lists.wfu.edu
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> Datum: 22.03.2012 17:04
> Předmět: Gretl-users Digest, Vol 62, Issue 18
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>Today's Topics:
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> 1. Ralph M Rodriguez/PO/KAIPERM is out of the office.
> (Ralph.M.Rodriguez(a)kp.org)
> 2. Re: VECM Estimation (Allin Cottrell)
> 3. (no subject) (Chung Tin Fah)
> 4. Re: AR-GARCH-t MLE (Daniel Bencik)
>
>
>----------------------------------------------------------------------
>
>Message: 1
>Date: Wed, 21 Mar 2012 10:02:10 -0700
>From: Ralph.M.Rodriguez(a)kp.org
>Subject: [Gretl-users] Ralph M Rodriguez/PO/KAIPERM is out of the
> office.
>To: gretl-users(a)lists.wfu.edu
>Message-ID:
> <OF505E4BE9.0EDB614B-ON882579C8.005D953A-882579C8.005D953A(a)kp.org>
>Content-Type: text/plain; charset="us-ascii"
>
>
>
>I will be out of the office starting 03/21/2012 and will not return until
>03/26/2012.
>
>Hi All, I will be out of the office on PTO from Wednesday, March 21 through
>Friday March 23, returning to the office on MOnday March 26. If you have
>any concerns with Cost Model and other construction economics matters,
>please, contact Bradley Njus at 510 625 4595.
>Thanks
>ralph
>
>Ralph
>