Failure in improving likelihood in a state-space model
Posted: Tue Jan 10, 2012 9:47 am
Hi,
I'm trying to specify the following state-space model:
@signal dlrgdp = c(1) + c(2)*dlrgdp(-1) + c(3)*dhom(-23) + sv1*dhom(-23) + [var = exp(c(9))]
@state sv1 = c(5)*sv1(-1) + [var = exp(c(7))]
But the output window indicates: "Failure to improve likelihood after X iterations"... How to solve this problem? Other quetion: How to determine the starting values of our parameters? I mean, which values to atribute ti them?
Thank you very much,
Dim
I'm trying to specify the following state-space model:
@signal dlrgdp = c(1) + c(2)*dlrgdp(-1) + c(3)*dhom(-23) + sv1*dhom(-23) + [var = exp(c(9))]
@state sv1 = c(5)*sv1(-1) + [var = exp(c(7))]
But the output window indicates: "Failure to improve likelihood after X iterations"... How to solve this problem? Other quetion: How to determine the starting values of our parameters? I mean, which values to atribute ti them?
Thank you very much,
Dim