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.).