Beforehand, thank you very much for answer.
I know how to set the tolerance parameter. What I want to know if
possible is how gretl calculate whether my model mets the tolerance?
El 1/09/2016 a las 8:43 a. m., Sven Schreiber escribió:
Am 25.08.2016 um 23:42 schrieb Mario Florez Porras:
> Hello,dear Gretl Community.
>
> I'm doing a nonlinear estimation via the maximum likelihood method. I
> want to do a batch processing of data but in some cases the estimation
> don't satisfise tolerance (1,81899e-012), don't met the convergence
> criterion. Does anyone knows how it is calculated whether or not the
> model meets tolerance?
>
Apparently nobody wants to answer in the holiday season....
There is a settable option using the "set" command for the MLE
tolerance. See the "set" documentation under the section "Numerical
methods" in the built-in command reference; as in:
set bfgs_toler <some-value>
You may have to also choose the optimizer for ML explicitly before the
mle block, as in:
set optimizer BFGS
Some remarks to the masters of the documentation: First I don't see a
"newton_toler" option and I don't immediately understand why this is
absent. Also the way to adjust the tolerance setting might be
mentioned in the MLE chapter of the guide, I didn't see it there (but
may have missed it), I only saw a mention of choosing the optimizer.
OK, but after all these technicalities, I'd say the default tolerance
values are reasonable, and if you get a problem there you're better
off transforming your data instead (normalizing etc.).
good luck,
sven
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