Programming the statistical procedures from SAS

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

Reply
Contributor
Posts: 61

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

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

 

Super User
Posts: 13,498

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

Posted in reply to ducman1611

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.

Contributor
Posts: 61

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

Thanks. do you know what values should I apply?

Ask a Question
Discussion stats
  • 2 replies
  • 89 views
  • 0 likes
  • 2 in conversation