On Mon, February 13, 2006 17:51, Ignacio Díaz-Emparanza wrote: > I have a multiplicative ARMA model that seems difficult to estimate as is > actually not converging. I know that usually it means that the specification > of the model is not good, but I think in this case if I augment the limit of > iterations it will soon converge. > Is there a way of doing that? and, Is there a way of changing the tolerance > criterium for ARMA models?
I think both things could be made configurable via the "set" command easily. I'll let you know as soon as I manage to work on it. However, I'm a little wary of the numerical problems that might arise if you tried to estimate a monster such as, for example, an ARMA(25,30). What would you think is an upper limit we shouldn't exceed in any case? -- Riccardo "Jack" Lucchetti Dipartimento di Economia Facoltà di Economia "G. Fuà" Ancona
