cancel
Turn on suggestions
Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.
Showing results for 
Search instead for 
Did you mean: 
amlan
‎09-01-2015
  • 2 Posts
  • 0 Likes Given
  • 0 Solutions
  • 0 Likes Received

Re: VAR(1) ARCH(1) model

by SAS Employee in SAS Forecasting and Econometrics
‎10-28-2013 01:50 PM
‎10-28-2013 01:50 PM
Hello Amlan, Thank you for your question.  Actually, I took your file and code and tried it on my 9.4 SAS with 12.3 SAS/ETS and the optimization completed just fine.  My guess is that you are on a previous version of SAS/ETS. In recent years, the VARMAX routine has received algorithm improvements that greatly enhance optimization. If you are unable to upgrade to the newest version of SAS you might want to see if you can bump up the iterations and function calls, such as with nloptions maxiter=500 maxfunc=5000; Best of luck-Ken ... View more

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

by SAS Employee in SAS Forecasting and Econometrics
‎10-11-2013 08:26 AM
‎10-11-2013 08:26 AM
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 ... View more
Contact Me
Online Status
Offline
Date Last Visited
‎09-01-2015 07:11 AM
Quick links