ESTIMATE options ;

This is an optional statement in the procedure. Here you can specify the estimation method or whether to hold the model parameters fixed to their starting values. You can also specify some parameters that control the nonlinear optimization process. The following options are available.

METHOD=ML

METHOD=ULS

METHOD=CLS

specifies the estimation method to use. METHOD=ML specifies the maximum likelihood method. METHOD=ULS specifies the unconditional least squares method. METHOD=CLS specifies the conditional least squares method. METHOD=CLS is the default.

NOEST

uses the values specified with the AR=, MA=, and so on, as final parameter values. The estimation process is suppressed except for the estimation of the residual variance. The specified parameter values are used directly by the next FORECAST statement. Use of NOEST requires that all parameters be specified via the AR=, MA=, and so on. Partially specified models will cause an error when used by the HPFENGINE procedure. When NOEST is specified, standard errors, t values, and the correlations between estimates are displayed as 0 or missing. (The NOEST option is useful, for example, when you wish to generate forecasts that correspond to a published model.)

CONVERGE=value

specifies the convergence criterion. Convergence is assumed when the largest change in the estimate for any parameter is less than the CONVERGE= option value. If the absolute value of the parameter estimate is greater than 0.01, the relative change is used; otherwise, the absolute change in the estimate is used. The default is CONVERGE=0.001.

DELTA=value

specifies the perturbation value for computing numerical derivatives. The default is DELTA=0.001.

MAXITER=

MAXIT=

specifies the maximum number of iterations allowed. The default is MAXITER=50.

NOLS

begins the maximum likelihood or unconditional least squares iterations from the preliminary estimates rather than from the conditional least squares estimates that are produced after four iterations.

NOSTABLE

specifies that the autoregressive and moving average parameter estimates for the noise part of the model not be restricted to the stationary and invertible regions, respectively.

SINGULAR=value

specifies the criterion for checking singularity. If a pivot of a sweep operation is less than the SINGULAR= value, the matrix is deemed singular. Sweep operations are performed on the Jacobian matrix during final estimation and on the covariance matrix when preliminary estimates are obtained. The default is SINGULAR=1E–7.