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]
st: GMM speed
From
"Li, Wei" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: GMM speed
Date
Sat, 21 May 2011 21:17:01 -0400
Dear Statalist Members,
I tried to run the following simple nonlinear GMM specification with over 2 million observations. It took more than 10 hours to do iteration 0. I had to cancel the procedure and rerun the estimation using a 1% sample of the data to test the specification. I guess I could get a workstation with more than one processors and stata/MP... But that would be expensive...
I also tried to include the derivatives in the stata statement. Doing that increased speed quite a bit using the 1% sample. It is still taking a very long time (it is almost 16 hours and I am still waiting).
Any suggestions?
Many thanks
Wei Li
University of Virginia
gmm (y-{a=0.4}*L.y-ln({b=0.1}*x1+{c=4}*x2+x3)+{a}*ln({a}*L.x1+{b}*L.x2+L.x3)-{c=0}),xtinstruments(y x1 x2 x3, lags(2/4)) instruments(L.x1) winitial(xt D) wmat(hac nw 2) vce(unadjusted)
*
* 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/