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Re: st: Re: No Convegence in Likelihood Estimation
Robert,
I tried different distributions but I couldn't get convergence.
So I tried to continue the while loop by using the `next` ARCH-model
in spite of an error
message of the former model. That is the reason for the capture in
front of the arch command.
But in spite of the capture the computer terminated the loop.
So I was looking for a command in order to continue the loop.
Thanks a lot
Michael
At 11:02 03.05.2008, you wrote:
Michael,
Sometimes Arch-Garch models do not converge. Nonlinear models
do not always have
smooth response surfaces. This is often true of multivariate Garch models.
Sometimes, you may have to try a different distribution to obtain
convergence and sometimes
that may not help..
- Regards,
Robert
Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University
----- Original Message -----
From: Maarten buis <[email protected]>
Date: Friday, May 2, 2008 2:35 pm
Subject: st: Re: No Convegence in Likelihood Estimation
To: stata list <[email protected]>
> --- Michael Stobernack <[email protected]> wrote:
> > on 16 Jan 2008 you gave the following answer to a question about `No
> > convergence in Lekelihood Estimation`.
> <snip>
> > I do have similar problems. I would like to run different ARCH models
> > with a while loop in a do-File:
> > local l = 1
> > while `l'<=3 {
> > capture:arch `ywahr',arima(`i',`j',`k') arch(1/`l')
> > iterate(400)
> > local l = `l' + 1
> > }
> >
> > I many cases it works fine but in some cases I get the error message
> > `flat log likelihood encountered, cannot find uphill direction`.
> > Well as you mention above there might be some problems with the
> > parameters. Since I would like to continue the while loop I use
> > capture:arch y, arch(1/1) arima(2,0,2).
> > But the computer cancels the operation and terminates.
> > Do you have any ideas how to continue the while loop in spite of an
>
> > error message?
>
> First of all take a look at point 5 of the statalist FAQ
> http://www.stata.com/support/faqs/res/statalist.html
>
> The code you sent should work, I guess that your loop also contains
> some other commands after -arch-, and that these cause you trouble. You
> can avoid that using the code below:
>
> forvalues l = 1/3 {
> capture:arch `ywahr',arima(`i',`j',`k') arch(1/`l') iterate(400)
> if _rc==0 {
> do stuff
> }
> }
>
> -- Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
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_____________________________________________
Dr. Michael Stobernack
Associate Professor of Economics
Department of Business Administration
Brandenburg University of Applied Sciences/Fachhochschule Brandenburg
Magdeburger Str. 50
D - 14770 Brandenburg
Germany
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fax: +49 (03381) 355 299
email: [email protected]
http://www.fh-brandenburg.de/~stoberna/
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