Re: st: Re: st: How do I suppress computation of standard errors in stata gmm function?

[Stas Kolenikov <skolenik@gmail.com>]

I second Howard's experience (and request) here. For some of my
problems, iterations may take several seconds, but after the last
iteration, there's may be a pause for a minute and a half before the
estimates are finally produced. I can only attribute this to the
numeric standard errors computation. This is probably more problematic
with the types of models that I work with which require coding several
dozen parameters as {parameter:_cons}, so the chain rules that make
computations more efficient with instrumental-variable-type moment
conditions cannot be fully utilized.

-- Stas Kolenikov, PhD, PStat (ASA, SSC)
-- Senior Survey Statistician, Abt SRBI
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer
-- http://stas.kolenikov.name



On Wed, Jul 31, 2013 at 9:40 AM, Michael Barker
<mdb96statalist@gmail.com> wrote:
> Hi Howard,
>
> I don't know of any way to switch off the standard error calculation,
> but I would guess that doing so would not speed up the estimation very
> much. If the GMM estimation is taking a long time, it is probably
> spent in the minimization routine, finding the parameter estimates.
> Once the minimization is complete, all of  the components to calculate
> standard errors (gradients, etc.) have already been calculated.
>
> When you run the estimator once, how much time elapses between the
> final iteration and displaying results? That would be an upper bound
> on the time savings from eliminating the standard error calculation.
>
> Mike
>
>
>
> On Tue, Jul 30, 2013 at 5:44 AM, Howard Smith
> <howard.smith@economics.ox.ac.uk> wrote:
>> I am using the gmm() function interactively in stata, with analytical gradients and two equations.
>>
>> I would like to obtain estimated parameters but not standard errors!
>>
>> This is to speed things up (for bootstrapping for example, but also just to try a few alternative specifications). I guess that computing standard errors takes time.
>>
>> My question then: Is it possible to "switch off" the computation of standard errors? If so, how? I have searched quite a lot to figure this out but can see no reference to it in documentation or in past statalist discussions.
>>
>> Many thanks for any assistance you can offer.
>>
>> Howard Smith
>>
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