Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Tobias Friedli <tobias.friedli@access.uzh.ch> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: -xtmixed- performance problem |
Date | Sun, 12 Sep 2010 15:18:39 +0200 |
Thank you. I mainly want to deal with heteroskedasticity. Isnt there maybe a possibility to do this using the bootstrap function. Regards Toby On 11.09.2010, at 17:07, Roberto G. Gutierrez, StataCorp wrote: > Hobst <tobias.friedli@access.uzh.ch> 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 > rgutierrez@stata.com > * > * 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/ * * 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/