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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