Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | "Santos Silva, J.M.C." <jmcss@essex.ac.uk> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: How do I suppress computation of standard errors in stata gmm function? |
| Date | Sat, 3 Aug 2013 10:10:29 +0100 |
Let me add that it would indeed be great to be able to suppress the computation of the standard errors in all regression commands. For example, this would be a great advantage when running simulations in which we only care about the estimates, or when we need to do some complicated bootstrap. It would also help a lot when we write our own estimators based on iterated least squares or similar iterative algorithms. All the best, Joao > I'll hop on this good idea and say it'd be nice to turn off estimation > of standard errors in the mixed models, too. I've had the same > situation, where every iteration is slowed by inverting and testing of > a matrix about which I do not care. Ideally, one would be able to > turn off the standard errors for some levels while still estimating > them for others. For example, the standard errors for fixed effects > could be estimated, while the standard errors for the variances could > be switched off. > > Such a thing seems possible. Is it? > > Sam > > On Fri, Aug 2, 2013 at 6:36 AM, Brian P. Poi <bpoi@stata.com> wrote: >> On 08/01/2013 04:20 AM, Howard Smith wrote: >> >>> Hi Mike >>> >>>> 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. >>>> >>> >>> I did this upper bound check, and in fact that's why I wanted to turn off >>> the standard errors. >>> >>> Quite a lot of time elapses after the last iteration and the computation >>> of standard errors: several minutes. Even though I supply analytical >>> gradients. >>> I am not sure why it takes so long, >>> perhaps because I have a lot of parameters (50) and a very large dataset. >>> >>> It's a pity they can't be switched off. >>> >>> Howard >>> >> >> Howard, >> >> The ability to switch off -gmm-'s computation of standard errors when doing >> bootstrapping is an interesting idea. We will look into implementing that. >> >> I'd also like to mention two enhancements to -gmm- that were made available >> in the Stata 13 adofile update of 23jul2013. These can speed up the >> standard error computations quite substantially. >> >> First, you can now specify equation names within the parameters() option >> when you write a function-evaluator program. The upshot is that when you >> use this feature, you specify equation-level analytic derivatives rather >> than parameter-level derivatives. If your moment equations contain linear >> combinations of variables, using equation names makes programming the >> derivatives significantly easier, and, moreover, -gmm- is faster. >> >> Second, if you use numeric derivatives, there is a new option >> 'quickderivatives' that can greatly speed up the computation of the standard >> errors. In a large majority of cases, using 'quickderivatives' is just as >> accurate as the default computations for the derivatives required for the >> standard errors, yet it is much faster. In some complicated problems where >> computing the standard errors used to take minutes, specifying >> 'quickderivatives' lets -gmm- get the standard errors in a second or two. >> >> In Stata type >> >> . update query >> >> and follow the instructions to get the latest ado-file update. Both the >> help file and reference manual entry for -gmm- have been updated to reflect >> these new features. >> >> -- Brian Poi >> -- bpoi@stata.com >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ > > References: > Re: st: Re: st: How do I suppress computation of standard errors in stata gmm > function? > From: Howard Smith <howard.smith@economics.ox.ac.uk> > Re: st: Re: st: How do I suppress computation of standard errors in stata gmm > function? > From: "Brian P. Poi" <bpoi@stata.com> > > Prev by Date: re: st: Replying if in digest mode > Next by Date: Re: st: mepoisson vs meqrpoisson > Previous by thread: Re: st: Re: st: How do I suppress computation of standard > errors in stata gmm function? > Next by thread: st: Replying if in digest mode > Index(es): > Date > Thread * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/