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Re: st: Re: No Convegence in Likelihood Estimation


From   Michael Stobernack <stobernack@fh-brandenburg.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: No Convegence in Likelihood Estimation
Date   Mon, 05 May 2008 15:50:53 +0200

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 <maartenbuis@yahoo.co.uk>
Date: Friday, May 2, 2008 2:35 pm
Subject: st: Re: No Convegence in Likelihood Estimation
To: stata list <statalist@hsphsun2.harvard.edu>


> --- Michael Stobernack <stobernack@fh-brandenburg.de> 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
phone: +49 (03381) 355 239 or -201
fax:   +49 (03381) 355 299
email: stobernack@fh-brandenburg.de
http://www.fh-brandenburg.de/~stoberna/

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