Re: [Gretl-users] AR-GARCH-t MLE

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