比如以下程序片段:
ab.bekk1 = mgarch(series = ab, model = bekk1.mod)
......
Iteration 19 Step Size = 0.530913 Likelihood = 5.79470
Iteration 19 Step Size = 1.06183 Likelihood = 5.79459
Convergence R-Square = 0.0000423513 is less than tolerance = 0.0001
Convergence reached.
###################################################
ab.bekk2 = mgarch(series = ab, model = bekk2.mod)
......
Iteration 16 Step Size = 0.000570983 Likelihood = 5.38148
Iteration 16 Step Size = 0.00114197 Likelihood = 5.38148
Iteration 16 Step Size = 0.00228393 Likelihood = 5.38148
Convergence R-Square = 0.001855461
Function value convergence.
请问:
a) Convergence R-Square = 0.0000423513 is less than tolerance = 0.0001
Convergence reached.
b) Convergence R-Square = 0.001855461
Function value convergence.
a得出的结果可靠,还是b得出的可靠?
他们分别说明了什么?
看字面意思,应该是a达到了收敛。但是同样的问题(这里用的LR检验)用wald检验得出的结果却与b符合,与a矛盾。
这里wald检验的结果与经验一致。