I'm trying to estimate an unknown ARMA(p,q) series via a Kalman Filter & QMLE.
The issue is most of my optimized likelihood values end up around -350, except one or two which are hugely positive! It doesn't seem likely that adding a single AR or MA lag would cause such a drastic jump in my likelihood function.
I've tried messing around with optimization parameters in Matlab such as MaxFunEval, and MaxIter but I am still finding this issue.
If this is the wrong place for a question like this I apologize in advanced.