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

["Santos Silva, J.M.C." <jmcss@essex.ac.uk>]

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
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> 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>
> 
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