convergence criterion, EV8 vs EV9

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maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

convergence criterion, EV8 vs EV9

Postby maxchen » Thu Jul 21, 2016 6:55 pm

It seems the behavior of convergence criterion in EV8 and EV9 are different.

using the data file download/file.php?id=3371

Code: Select all

%path = @linepath
%wf = %path + "dsdf.txt"
pageload %wf

system bg
bg.append df = c(1)
bg.append ds = c(2)

bg.arch(conv=0.01,showopts) @ccc c arch(1) garch(1)


EV8 shows
Estimation settings: tol=0.01000, derivs=analytic
Initial Values: C(1)=9.35833, C(2)=9.22667, C(3)=171.133,
C(4)=0.54664, C(5)=0.36116, C(6)=115.245, C(7)=0.75962,
C(8)=0.32894, C(9)=0.99109
Convergence achieved after 33 iterations

EV9 gives

Estimation settings: tol=1.0e-06, derivs=analytic
Initial Values: C(1)=9.35833, C(2)=9.22667, C(3)=171.118,
C(4)=0.54662, C(5)=0.36120, C(6)=115.196, C(7)=0.75926,
C(8)=0.32925, C(9)=0.99109
Convergence achieved after 54 iterations

the "tol" is scaled.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12263
Joined: Tue Sep 16, 2008 5:38 pm

Re: convergence criterion, EV8 vs EV9

Postby EViews Gareth » Thu Jul 21, 2016 8:32 pm

Yep
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EViews Glenn
EViews Developer
Posts: 2611
Joined: Wed Oct 15, 2008 9:17 am

Re: convergence criterion, EV8 vs EV9

Postby EViews Glenn » Fri Jul 22, 2016 10:00 am

Tols are scaled for new estimation methods since the interpretation in the old engine and new engine differ. If you want the original behavior, you can select the legacy engine.


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