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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 Stata专版
4719 1
2011-06-29
我使用命令arch ex if id==9,ar(1) ma(1) arch(1) garch(1) difficult后995次迭代还是没有结果,是数据太平稳了吗?是否有什么办法得到结果呢? 能否提前设定迭代的精度呢?多谢各位大侠!

Iteration 980: log likelihood = -37.569687  
BFGS stepping has contracted, resetting BFGS Hessian (98)
Iteration 981: log likelihood = -37.569664  (backed up)
Iteration 982: log likelihood = -37.569662  (backed up)
Iteration 983: log likelihood = -37.567699  (backed up)
Iteration 984: log likelihood = -37.567289  (backed up)
Iteration 985: log likelihood = -37.567289  (backed up)
Iteration 986: log likelihood = -37.567286  (backed up)
Iteration 987: log likelihood = -37.567286  (backed up)
Iteration 988: log likelihood = -37.567262  (backed up)
BFGS stepping has contracted, resetting BFGS Hessian (99)
Iteration 989: log likelihood = -37.566539  
(switching optimization to BHHH)
Iteration 990: log likelihood = -37.566531  (not concave)
Iteration 991: log likelihood = -37.566515  (not concave)
Iteration 992: log likelihood = -37.566513  (not concave)
Iteration 993: log likelihood = -37.566513  (not concave)
Iteration 994: log likelihood = -37.566513  (not concave)
(switching optimization to BFGS)
Iteration 995: log likelihood = -37.566513  
flat log likelihood encountered, cannot find uphill direction
r(430);
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2014-10-9 16:19:53
建议用eviews软件进行garch模型的估计,用stata的运算速度很慢,而且需要设定合适的种子才会得出结果。很麻烦
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