NO CONVERGENCE

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

NO CONVERGENCE

Unread post by luxu1983 »

when i run my code, it always say

NO CONVERGENCE IN 42 ITERATIONS
LAST CRITERION WAS 0.0000000
SUBITERATIONS LIMIT EXCEEDED. ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT.
TRY HIGHER SUBITERATIONS LIMIT, TIGHTER CVCRIT, DIFFERENT SETTING FOR EXACTLINE OR ALPHA ON NLPAR.
RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES MIGHT ALSO WORK
With Heteroscedasticity/Misspecification Adjusted Standard Errors

how can i solve this problem?
i use the trace option
condor
Posts: 18
Joined: Fri Apr 10, 2009 4:11 pm

Re: NO CONVERGENCE

Unread post by condor »

You can do some preliminary iterations prior to actual optimization and obtain "better" initial guesses. Adding the following line into your maximization specification should work as it is commonly suggested:
(...pmethod=simplex,piters=5...)
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