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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: speed up mkmat |

Date |
Sun, 6 Feb 2005 13:39:44 -0500 |

Elisabeth indicated difficulties with mkmat, and Nick responded

"For each call to -mkmat- there is a

(1) -preserve- of your data

and a

(2) double loop over your variables and your

observations filling in the matrix element by

element

To avoid the problem (0) you might write

an alternative to -mkmat- as C code and make

it a plug-in.

To minimise the problem (1) you could check

to see that you are not working with a

relatively small subset of a relatively

large dataset, because otherwise the

-preserve- will be relatively expensive. "

I don't think that there is any good reason for a preserve in this context; I believe it can be replaced with a sort (which of course is not costless, but probably less burdensome than copying the whole data set). Here is a version of mkmat that with cursory testing produces the same result as official mkmat, but appears to reduce the time by at least 1/3 or so (tested on 74000 observations). If called per observation, getting rid of those preserve/restores should save quite a bit more.

To try out this version,

copy http://fmwww.bc.edu/ec-p/baum/mkmat2.ado ~/desktop/mkmat2.ado

(for the second argument substitute a location on your hard disk) and use mkmat2 rather than mkmat.

Caveat executor!

Kit

Kit Baum, Boston College Economics

http://ideas.repec.org/e/pba1.html

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