AW: [Gretl-devel] bfgs: failed to match initial value

Allin Cottrell cottrell at wfu.edu
Thu Jul 2 20:11:25 EDT 2009


On Thu, 2 Jul 2009, Allin Cottrell wrote:

> On Fri, 3 Jul 2009, Klein, Christoph wrote:
>
> > i'm sorry but my patch doesn't solve the problem,possibly making
> > the problem worse. I will look tomorrow at the problem again.
> > Can you revert the change, please?!
>
> OK, done.  I'll try taking a closer look myself.  As the comment
> in the code suggests -- "FIXME this should never happen" -- the
> issue we're looking at is one that rarely arises, and is somewhat
> puzzling.

Let me be a bit more explicit.  The reason why this is puzzling is
that, typically, if you take MLE results and pass them back as
initial values for the same problem, gretl's BFGS reports
immediate convergence, not the error you're talking about ("failed
to match initial value of objective function"). For example, this
simple script:

open data9-7
arma 1 1 ; QNC
matrix b = $coeff
set initvals b
arma 1 1 ; QNC -v

Jack, can you help us out on this?

Allin.


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