SState ML estimation ignores initial values
Posted: Fri Feb 25, 2022 10:12 am
Good afternoon!
I am trying to estimate a state-space model, and it converges slowly, so I wanted to help the optimiser by estimating it once, saving those values for posterity, and then, using them as the initial values. I did it as described in an older topic, http://forums.eviews.com/viewtopic.php?t=15425, but couldn't make it work.
My specification goes like this:
After estimating a heavy model once, I would like to provide these estimated C(...) values to save time. I tried doing it in both ways before the estimation part (i.e. before invoking xport.ml).
First:
Second:
However, when I run the next line with xport.ml, it still starts at some automatically guessed values and takes the same number of iterations to converge as if I had supplied nothing. The initial log-likelihood value, as evidenced by xport.ml(m=0, ...), is -896; after 10 iterations, it is -827, and the final one after 89 iterations is -819. No matter how I set the values of C(...), the initial log-likelihood value is always -896, an it should be the final one because I am already supplying the optimal values of the coefficients as starting values (or so do I think). The numerical gradient at the optimal values is very close to zero (below 1e-8 for each coordinate), so no further optimisation should be carried out. Yet it takes another 89 iterations to start climbing from the initial values of -896.
How do I supply the previously optimised values as the initial ones to sspace to save time?
Yours sincerely,
Andreï V. Kostyrka
I am trying to estimate a state-space model, and it converges slowly, so I wanted to help the optimiser by estimating it once, saving those values for posterity, and then, using them as the initial values. I did it as described in an older topic, http://forums.eviews.com/viewtopic.php?t=15425, but couldn't make it work.
My specification goes like this:
Code: Select all
sspace xport
xport.append @SIGNAL XB_R_Q_G_S = C(011) * S1 + U01_0
xport.append @SIGNAL LAG_PMIMANUS_M_S = C(021) * S1 + U02_0
...
' State equations (~transition equations)
xport.append @STATE S1 = C(1) * S1(-1) + C(2) * S2(-1) + [ VAR = 1 ]
xport.append @STATE S2 = S1(-1)
...
vector(19) svec0
svec0.fill 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0
xport.append @mprior svec0
xport.ml(covinfo = "hessian", m = 100, c = 0.0001)First:
Code: Select all
param C(1) 1.312443 C(2) -0.419682 C(11) 0.350661 ... C(94) -1.450587 Code: Select all
C(1)=1.312443
C(2)=-0.419682
...
C(94)=-1.450587How do I supply the previously optimised values as the initial ones to sspace to save time?
Yours sincerely,
Andreï V. Kostyrka