I need help in understanding something I've observed.
I'm running a Monte Carlo simulation of the IRLS (iteratively
reweighted least squares estimator) on a nonlinear functional form.
If I use different seeds for generating the "true" data (seed = 123)
and the simulation (seed = 56203), then the runtime under the GUI
version of Stata MP 9.2 is about 24 minutes. If, however, I use the
same seeds to generate the true data and run the simulation (seed =
56203), then the runtime is 1 hour and 48 minutes. The run times are
slightly less when using the console version of Stata MP 9.2. I don't
understand why the seeds matter to such an extent.
I will be very appreciative if someone would enlighten me.
By the way, I ran the simulations on an 24" Apple iMac with an Intel
2.33GHz Core 2 Duo processor running Mac OS X 10.4.9.
Thanks,
Richard
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