为什么在用EVIEWS做AR(1)模型的最大似然估计时,总是出现“Missing values in @logl series at current coefficients at observation 1990:01”其中1990:01是第一个样本数据,但是我在设置参数时已经设定了参数的初始值,而且该值和OLS估计的值很接近,反复检查了程序没有发现什么错误,忘各位不吝指教,急急!
LogL: LOGL1
Method: Maximum Likelihood (Marquardt)
Date: 07/12/11 Time: 21:05
Sample: 2 2466
Included observations: 2465
Evaluation order: By observation
Estimation settings: tol= 1.0e-05, derivs=accurate numeric
Initial Values: MU(1)=0.02264, THETA(1)=0.01273, THETA(2)=-0.02271,
OMEGA(1)=3.00153, ALPHA(1)=0.01000, BETA(1)=0.01000
Convergence achieved after 3 iterations
WARNING: Singular covariance - coefficients are not unique
Coefficient Std. Error z-Statistic Prob.
MU(1) 0.379533 NA NA NA
THETA(1) 0.027987 NA NA NA
THETA(2) -0.007685 NA NA NA
OMEGA(1) -36.87997 NA NA NA
ALPHA(1) 0.088602 NA NA NA
BETA(1) 10.09254 NA NA NA
Log likelihood -4779.204 Akaike info criterion 3.882519
Avg. log likelihood -1.938825 Schwarz criterion 3.896661
Number of Coefs. 6 Hannan-Quinn criter. 3.887657