topic NEWEY-WEST standard error:failed to converge for 2SLS in Statistical Procedures

NEWEY-WEST standard error:failed to converge for 2SLS

somebody — Fri, 22 Jun 2018 20:23:59 GMT

I am trying to calculate Newey-West standard error for some portfolios. However, I got this error message of not converging. Please help with any idea of what is going on and how to fix


%let lags=36; 
		ods output parameterestimates=nw; ods listing close; options nonotes;
		proc model data=input plots=none; by portfolio;
					instruments / intonly; r=a; fit r / gmm kernel=(bart,%eval(&lags+1),0); 
		run; quit; ods listing; options notes;




ERROR: The parameter estimates failed to converge for 2SLS after 4 iterations using CONVERGE=0.001 as the convergence criteria

Re: NEWEY-WEST standard error:failed to converge for 2SLS

ballardw — Fri, 22 Jun 2018 23:01:26 GMT

The MAXITER=<integer value> option sets number of iterations, Converge=<numeric value> sets the convergence criteria these could be on the Proc or a Solve statement.

Perhaps increasing Maxiter or Converge will allow the model to converge.

Re: NEWEY-WEST standard error:failed to converge for 2SLS

somebody — Sat, 23 Jun 2018 21:06:05 GMT

Thanks. do you know what values should I apply?