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?

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 > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Am 02.09.2016 um 18:15 schrieb Mario Flórez Porras: > 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? I don't think gretl is doing anything special here, it should compare (a number based on) the latest likelihood value update to the one before, and if the increment is still too large relative to the convergence criterion, then it would go on. Then what might happen is that the maximum number of iterations is reached before convergence occurs. See also the 'set' options 'bfgs_maxiter' and 'bfgs_maxgrad'.