Hi,
maybe we changed the convergence criteria a little bit? I cannot remember,
but we have played around with those a few times. You may try those,
perhaps it helps a bit.
Another recommendation---as you do not supply analytic gradient, you may
want use BHHH method instead (if this applies to your problem), or another
one that does not need Hessian. Numeric approximation of Hessian is pretty
error-prone..
Best,
Ott
On Fri, May 10, 2013 at 2:40 PM, Arne Henningsen
<arne.henning...@gmail.com>wrote:
> Dear Alfonso
>
> On 10 May 2013 12:51, <alfonso.carf...@uniparthenope.it> wrote:
> > we are computing maximum likelihood estimations using maxLik package and
> we
> > realized that the results of the estimation depend on the version of the
> > package installed
> >
> > for example if we try to estimate this function with an old version of
> > maxLik under R 2.13.1 (32 bit version installed 2 years ago):
> >
> >
> > L<-function (param) {b0t<-param[1]
> > p1t<-param[2]
> > p2t<-param[3]
> > p3t<-param[4]
> > p4t<-param[5]
> >
> > for(i in 17:T) {n[i,]<- b0t + p1t*a[i-1] + p2t*sum(a[(i-4):(i-1)]) +
> > p3t*(sum(a[(i-8):(i-1)])) + p4t*(sum(a[(i-16):(i-1)]))
> > m[i,]<-exp(n[i])/(1+exp(n[i]))
> > ll[i-16,]<-a[i]*log(m[i])+(1-a[i])*log(1-m[i]) }
> > sum(ll)}
> > b2<-maxLik(L, start=c(-2.8158,5,-1,0.3213,-0.3112))
> >
> >
> > we obtain this results:
> >
> > summary(b2)
> >
> > Maximum Likelihood estimation
> > Newton-Raphson maximisation, 16 iterations
> > Return code 2: successive function values within tolerance limit
> > Log-Likelihood: -38.11285
> > 5 free parameters
> > Estimates:
> > Estimate Std. error t value Pr(> t)
> > [1,] -2.81578 0.43548 -6.4660 1.007e-10 ***
> > [2,] 50.50024 13.17046 3.8344 0.0001259 ***
> > [3,] -11.53344 3.31075 -3.4836 0.0004947 ***
> > [4,] 0.32130 0.42978 0.7476 0.4547096
> > [5,] -0.31121 0.23245 -1.3388 0.1806280
> > ---
> > Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
> > --------------------------------------------
> >
> > NB: a is a binary time series
> >
> > if we try to estimate the same function using the last version of maxLik
> > under R.3.0 (64 bit latest version) the estimation do not converge and
> this
> > is the error message:
> >
> > Iteration 15
> > Parameter:
> > [1] -2.8146429 51.3042554 -11.7373313 0.3245214 -0.3125767
> > Gradient:
> > [1] NaN NaN NaN NaN NaN
> > Errore in maxNRCompute(fn = logLikAttr, fnOrig = fn, gradOrig = grad,
> > hessOrig = hess, :
> > NA in gradient
> >
> > What causes this?
>
> It could be that the NaNs in the gradients are caused by rounding
> errors and/or approximation errors in the numerical
> (finite-difference) derivatives when using R.3.0 64 bit, because
> different hardware and different software versions (e.g. R,
> mathematical libraries, OS) could lead to different rounding errors.
> In this case, the specification of a function that returns analytical
> gradients could solve the problem.
>
> If this does not solve the problem and you cannot find out the reason
> for the NaNs in the analytical gradients yourself, please provide a
> reproducible example so that we could help you with this.
>
> Please note that you could also ask questions regarding the maxLik
> package via a forum at maxLik's R-Forge site:
>
> https://r-forge.r-project.org/projects/maxlik/
>
>
> ... and please do not forget to cite maxLik in your publications :-)
>
> Best regards,
> Arne
>
>
> --
> Arne Henningsen
> http://www.arne-henningsen.name
>
--
Ott Toomet
Senior research fellow
Tartu University
Department of Economics
Narva 4,
Tartu 51009
Estonia
ph: +372 737 6348
email: otoo...@gmail.com
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