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Re: st: Performance of ivregress vs ivreg
On Tue, 11 Nov 2008, Davide Cantoni wrote:
Dear statalisters,
I have recently moved to Stata 10 and I am surprised about the
replacement of -ivreg- with -ivregress-. While I appreciate some of
the additional options (which would formerly be available only in
-ivreg2-), I am puzzled by the generally strictly inferior performance
of -ivregress-. I could not find any discussion of this in the
Statalist so far, which is slightly surprising to me. Here are my
qualms.
1. Memory usage. -ivregress- needs much more memory than -ivreg-. So
you need to -set mem- to a much higher level than before.
2. Speed. -ivregress 2sls- is much slower than -ivreg-. I did a small
simulation: -ivreg- took 4 seconds, -ivregress 2sls- took 18 seconds.
That's an increase of 350%!
These two points represent trade-offs between raw speed and features.
While -ivreg- is somewhat faster than -ivregress-, the newer -ivregress-
offers many features not available with -ivreg-, including support for
LIML and GMM estimators and a host of postestimation utilities. Given the
increased awareness of problems with weak instruments, validity of
overidentifying restrictions, and other issues, the benefits of having the
flexibility afforded by -ivregress- outweigh the speed advantage of
-ivreg-.
If speed is most important and you do not want to use the postestimation
commands, then you could continue to use the undocumented -ivreg- command.
3. Finally I keep getting the following error message, which I can't
explain myself:
option noline not allowed
r(198);
We have never seen this error appear with -ivregress-. Make sure your
copy of Stata is up-to-date by typing in -update all- and following the
instructions on the screen. If you continue to receive this error
message, send an email to [email protected] including the exact
syntax you are using along with a dataset to replicate the problem.
-- Brian Poi
-- [email protected]
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