Termination of Estimation

[emma]

Hi,

1. After I run a maximum likelihood estimation using fmincon, I got the following message:

Optimization terminated: magnitude of search direction less than 2*options.TolX
and maximum constraint violation is less than options.TolCon.

In the meanwhile, the first-order optimality is still a large number.
Is this a good termination? Shoudn't the first-order optimality be close to zero?

2. If the t value for some estimated parameters are very small, does that mean these parameters cannot be accurately estimated with data? The likelihood is very flat over these parameters?

I also noticed that the estimated value will not deviate a lot from the initial values for these parameters. Does that mean data do not have enough information to estimate these parameters?

Thanks.

Emma

[MichelJuillard]

1. This message seems to indicate that the value of the parameters aren't moving enough anymore but that an optimum hasn't been reached.

2. Remember that the t-stat is computed for the null hypothesis that a given parameter is equal to zero. The t-stat can only be used to decide that test.


Best,

Michel