The RATS Software Forum

Dear Tom, Thank you for your prompt reply. Changing the xsteep variables to contemporaneous still did not lead to convergence. I also tried leaving out the exogenous variable and did not get any valid results. As I have several datasets some of which include negative values, I do not think that log-...

Hi, I am trying to use the VAR-EGARCH code of Koutmos, modified to bivariate with an exogenous variable in the mean model, on my data. I get the following warning: NO CONVERGENCE IN 51 ITERATIONS LAST CRITERION WAS 0.0000000 SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE RO...