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st: RE: RE: Avoiding loops (the while loop)


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Avoiding loops (the while loop)
Date   Sat, 26 Jun 2004 14:46:37 +0100

Replies below. 

Nick 
n.j.cox@durham.ac.uk 

Subhankar Nayak

> 1) Yes, there are 21 variables. Sorry, it was a typo on my part.

OK. 
 
> 2) I want to avoid loops because this is part of a simulation 
> exercise, and
> loops in stata (as in any other statistical package) is very 
> slow. First, I
> have to do month by month regression for 1000 months. Second, 
> I have to
> repeat this exercise for 1000 simulation rounds. Now, even with 1500MB
> memory I am allocating, the whole exercise takes 8-10 
> hours... And I have
> variations of these tests.

This is a misconception on your part, I think. 
Looping over observations can be very slow in Stata, but 
we are not doing that. 
In this kind of example, the interpretative overhead of 
a loop should be minor. Sure, you have a substantial 
amount of work to do, but avoiding loops is not an 
answer, I think. There is some overhead in the 
fact that -regress- is giving more results than 
you want to use. I guess you could reduce that 
by writing a plugin in C or C++. The time overhead
on that might not be great, especially in the 
possible extreme case that you have to learn C first. 

> 3) Let me try the code you are suggesting.
> 
> 4) I am attaching my code below for perusal if necessary.
> 
> DATASET:
> 
> Variables Nobs
> month  1000
> ret1  1000
> ret2  1000
> ret3  1000
> ret4  1000
> ret5  1000
> ret6  1000
> ret7  1000
> ret8  1000
> ret9  1000
> ret10  1000
> pbeta1  1000
> pbeta2  1000
> pbeta3  1000
> pbeta4  1000
> pbeta5  1000
> pbeta6  1000
> pbeta7  1000
> pbeta8  1000
> pbeta9  1000
> pbeta10  1000

So you have data on 10 asset portfolios over 1000/12 months 
= 83 years ??? I guess some economic historians would 
be interested in such data. 

... 

These t-tests look wrong to me. There is 
no adjustment for serial correlation in 
intercepts or slopes. 

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