Hello,I am running a nonlinear GMM using the optimx wrapper. I am trying to
estimate 37 variables however and my code for the optimx is:
nlgmm = optimx(par=b0, fn=obj,method = "BFGS", itnmax=10000,
control=list(follow.on = TRUE,kkt=FALSE,starttests=TRUE,save.failures=TRUE,
trace=0))
My staring values are from Ordinary least squares estimates (OLS) and they are:
b0 <-
c(-2.00658,-0.04373,0.19079,0.34652,-0.36814,0.21284,-0.24369,0.64622,0.22927,0.29431,0.19547,0.80614,18.8398,0.5928,3.1375,0.4301,-0.4937,2.2016,31.5203,0.6171,1.0206,1.7830,-0.4421,11.0076,-0.03305,0.17087,0.44794,0.17488,0.10781,-0.50747,-0.04563,0.17030,0.41792,0.17526,0.99734,-17.2996,-41.9359)
I got the following error:
Error in optim(par = par, fn = ufn, gr = ugr, lower = lower, upper = upper, :
non-finite finite-difference value [26]
I also got an error about scaling which is as follows:
Parameters or bounds appear to have differentscalings.This can cause poor
performance in optimization. Itis important for derivative free methods like
BOBYQA, UOBYQA, NEWUOA.
any help will be greatly appreciated.
Best Regards
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