I am fitting a matrix of predictors (desmat) to a timeseries (ts) and to do it I use a GeneralizedLinearModel object as follows:
m = GeneralizedLinearModel.fit(desmat, ts);
However, I often get the following warning:
Warning: Iteration limit reached.
> In glmfit (line 332)
In GeneralizedLinearModel/postFit (line 605)
In classreg.regr.FitObject/doFit (line 95)
In GeneralizedLinearModel.fit (line 887)
I have to use GeneralizedLinearModel.fit instead of glmfit because I am also running some contrasts between the model parameters down the line.
My question is this: how can I increase the number of maximum iterations in this fit method, so I can try to make my model converge? Alternatively, is there a way to do a contrast of coefficients that returns p-values using the glmfit function?
Thank you very much,