convergence criterion, EV8 vs EV9
Posted: Thu Jul 21, 2016 6:55 pm
It seems the behavior of convergence criterion in EV8 and EV9 are different.
using the data file http://forums.eviews.com/download/file.php?id=3371
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.
using the data file http://forums.eviews.com/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)
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.