initial value in maximum likelihood estimation

Discussions of ARCH, GARCH, and related models
luxu1983
Posts: 61
Joined: Wed Aug 12, 2009 10:53 pm

initial value in maximum likelihood estimation

Unread post by luxu1983 »

dear
in mgarch estimation, maximum likelihood estimation is sensitive to initial value
how to set the "right " initial value to get the "right" estimation results
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: initial value in maximum likelihood estimation

Unread post by TomDoan »

luxu1983 wrote:dear
in mgarch estimation, maximum likelihood estimation is sensitive to initial value
how to set the "right " initial value to get the "right" estimation results
Experiment. If you're getting converged estimates, but aren't sure you have the global mode, the only way to test that is to try different guess values and see if you end up in the same place.
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