diff --git a/src/statmodels.jl b/src/statmodels.jl
index 30eaf0a74..12702c175 100644
--- a/src/statmodels.jl
+++ b/src/statmodels.jl
@@ -336,12 +336,31 @@ function show(io::IO, ct::CoefTable)
 end
 
 """
-    ConvergenceException(iters::Int)
+    ConvergenceException(iters::Int, lastchange::Real=NaN, tol::Real=NaN)
 
-The fitting procedure failed to converge in `iters` number of iterations.
+The fitting procedure failed to converge in `iters` number of iterations,
+i.e. the `lastchange` between the cost of the final and penultimate iteration was greater than
+specified tolerance `tol`.
 """
-struct ConvergenceException <: Exception
+struct ConvergenceException{T<:Real} <: Exception
     iters::Int
+    lastchange::T
+    tol::T
+    function ConvergenceException{T}(iters, lastchange::T, tol::T) where T<:Real
+        if tol > lastchange 
+            throw(ArgumentError("Change must be greater than tol."))
+        else
+            new(iters, lastchange, tol)
+        end
+    end
 end
 
-Base.showerror(io::IO, ce::ConvergenceException) = print(io, "failure to converge after $(ce.iters) iterations")
+ConvergenceException(iters, lastchange::T=NaN, tol::T=NaN) where {T<:Real} = 
+    ConvergenceException{T}(iters, lastchange, tol)
+
+function Base.showerror(io::IO, ce::ConvergenceException)
+    print(io, "failure to converge after $(ce.iters) iterations.")
+    if !isnan(ce.lastchange)
+        print(io, " Last change ($(ce.lastchange)) was greater than tolerance ($(ce.tol)).")
+    end
+end
diff --git a/test/statmodels.jl b/test/statmodels.jl
index 7cc7b5c52..794ea07b3 100644
--- a/test/statmodels.jl
+++ b/test/statmodels.jl
@@ -31,8 +31,10 @@ x3   0.453058  0.72525 0.999172 0.5567
 @test_throws ErrorException StatsBase.PValue(-0.1)
 @test_throws ErrorException StatsBase.PValue(1.1)
 
-try
-    throw(ConvergenceException(10))
-catch ex
-    @test sprint(showerror, ex) == "failure to converge after 10 iterations"
-end
+@test sprint(showerror, ConvergenceException(10)) == "failure to converge after 10 iterations."
+
+@test sprint(showerror, ConvergenceException(10, 0.2, 0.1)) == 
+    "failure to converge after 10 iterations. Last change (0.2) was greater than tolerance (0.1)."
+
+err = @test_throws ArgumentError ConvergenceException(10,.1,.2)
+@test err.value.msg == "Change must be greater than tol."