Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: RE: st: RE: mvreg with vce(robust)?
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: RE: st: RE: mvreg with vce(robust)?
Date
Tue, 13 Jul 2010 06:52:46 -0400
<>
On Jul 13, 2010, at 2:33 AM, Peter wrote:
>
> The issue is as follows: -mvreg- runs much faster on an 8-core server than a loop of -reg- while generating the same results in my case (balanced panel). I assume that is due to the superior parallelization of the Mata code used in -mvreg-. The only difference is that -mvreg- cannot compute heteroskedasticity robust standard errors.
The reason that -mvreg- can run faster than a loop over -regress- is that -mvreg- forms the (X'X)^-1 matrix once and then postmultiplies it by X'Y, where Y is a matrix rather than a vector, yielding a corresponding matrix of b coefficients. It would be possible to 'roll your own' robust SEs, given the X matrix and the residuals from each equation estimated by -mvreg-, but in the interests of accuracy (you know that Stata computes these right, whereas your code might or might not do so) I would recommend looping over equations.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/