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RE: st: -xtmixed- performance problem
From
"Hoffman, George" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: -xtmixed- performance problem
Date
Sat, 11 Sep 2010 12:11:02 -0500
Would this model suffice?
>xi: xtreg y x1 x2 x3 x4 i.datevar, be
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Roberto G. Gutierrez, StataCorp
Sent: Saturday, September 11, 2010 10:08 AM
To: [email protected]
Subject: Re: st: -xtmixed- performance problem
Hobst <[email protected]> writes:
> I want to run the following two-way error component regression in xtmixed,
> with cluster robust standard errors
> xtmixed y x1 x2 x3 x4 || _all: R.id || datevar:, mle residuals(, by(id))
> Without the term residuals(,by(id)) the regression is very fast, but with
> the the option included, it did only 2 iterations in 48h.
> Does anybody have any idea, what i could do to speed the regression up? Is
> there maybe an option to decrease accuracy or something like that?
In a later post on this thread you said you have 320 groups each with 12
observations. When you added -residuals(, by(id))- in the above you specified
a heteroskedasticity model where you estimate a distinct residual variance for
each group. This added 320 parameters to be estimated in your model, hence
the slowdown.
Cluster robust standard errors are currently not supported by -xtmixed-,
although that is something we are looking into adding in the future.
--Bobby
[email protected]
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