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RE: st: No Convegence in Likelihood Estimation

From   "Mostafa Baladi" <[email protected]>
To   <[email protected]>
Subject   RE: st: No Convegence in Likelihood Estimation
Date   Wed, 16 Jan 2008 14:45:12 -0600

Thank you Maarten.  I have looked in the trace.  I will explore it more
and experiment with other maximization methods.  

Thanks a lot,


--- Mostafa Baladi <[email protected]> wrote:

> Dear Statalist members,
> I am estimating different ARIMA orders for the same data set.  For
> some, the likelihood maximization does not converge and I get the
> following error message:  
> flat log likelihood encountered, cannot find uphill direction
> I reviewed the help options and I am using gtolerance(999) which is
> supposed to disable the gradient criterion when it is difficult to
> achieve convergence.  I still get the same error message.  Can you
> please give me some advice on this?

Often non-convergence is a sign that there is something wrong with your
model. You can set the -trace- option and see if one the parameter
estimates is very very large, or very very small. That would be an
indication of the source of the problem. Also you can experiment by
specifying different maximization methods in the -technique()- option.

-- Maarten

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