作者anovachen (囧)
看板Statistics
標題[程式] SAS proc autoreg 錯誤訊息 (TGARCH)
時間Thu Jun 20 20:35:35 2013
[軟體程式類別]:
SAS 9.3
[程式問題]:
以autoreg進行TGARCH(1,1)模型建立。
[軟體熟悉度]:
高(1年以上)
[問題敘述]:
由於EGARCH和TGARCH都無法收斂，
所以加入maxiter=1000強迫他多迭代幾次，
總算估計出係數了...
但是，TGARCH部分仍有警告訊息：
ERROR: QUANEW Optimization cannot be completed.
NOTE: Optimization routine cannot improve the function value.
WARNING: Optimization cannot improve the function value.
請問這對於係數的估計會產生什麼影響？
[程式範例]:
proc autoreg data=data outest=garch_family maxiter=1000;
garch_1_1 : model r = / garch=(p=1,q=1); output out=out_garch
predicted=predicted residual=residual ht=ht lcl=lowerbound ucl=upperbound;
igarch_1_1 : model r = / garch=(p=1,q=1,type=integ); output
out=out_igarch predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
egarch_1_1 : model r = / garch=(p=1,q=1,type=egarch); output
out=out_egarch predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
garchm_1_1 : model r = / garch=(p=1,q=1,mean=log); output
out=out_garchm predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
qgarch_1_1 : model r = / garch=(p=1,q=1,type=qgarch); output
out=out_qgarch predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
tgarch_1_1 : model r = / garch=(p=1,q=1,type=tgarch); output
out=out_tgarch predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
pgarch_1_1 : model r = / garch=(p=1,q=1,type=pgarch); output
out=out_pgarch predicted=predicted residual=residual ht=ht lcl=lowerbound
ucl=upperbound;
run;
-----------------------------------------------------------------------------
後來改用trust region法估計係數，
即加入optmethod=tr指令，可以估出TGARCH的係數，
但是...改用這種數值最佳化法OK嗎?
--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 111.255.10.225
※ 編輯: anovachen 來自: 111.255.10.225 (06/21 00:46)