topic Re: Estimation of VAR(1) -ARCH(1) model with 212 data points. in SAS Forecasting and Econometrics

Estimation of VAR(1) -ARCH(1) model with 212 data points.

amlan — Wed, 09 Oct 2013 17:04:30 GMT

Hi all,

I have three stationary variables with 212 data points for each variable.

I am trying to run VAR(1) -ARCH(1) model but it is showing the following error.

ERROR: QUANEW optimization cannot be completed. QUANEW needs more than 200 iterations or 2000 function calls.

I am attaching the textfile as well as my code.

Is there any way i can estimate the the model correctly.Is there any other optimization technique or is there any way i can compute the model.

I used the following codes provided in this link SAS/ETS(R) 9.2 User's Guide

Re: Estimation of VAR(1) -ARCH(1) model with 212 data points.

udo_sas — Fri, 11 Oct 2013 12:26:16 GMT

Hello -

It seems to me that the optimization solver did not converge. In my opinion you should either change the nonlinear optimization technique or increase the number of iterations for your current solver.

For details please refer to http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_varmax_syntax17.htm and http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_nlomet_toc.htm

Thanks,

Udo