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RE: st: RE: Quantile regression runtimes
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: Quantile regression runtimes
Date
Sat, 5 Jun 2010 22:11:47 +0200
<>
So, for anyone who wants to replicate Jacob`s problem:
***********
vers 11.1
clear*
set mem 1G
set obs 673721
gen x1= rnormal()
gen x2= runiform()
gen x3=rchi2(3)
gen y=1*2*x1-3*x2+2*x3+rnormal()
timer clear
forv q=1/9{
timer on `q'
qreg y x?, q(`=`q'/10')
timer off `q'
}
timer list
**********
I end up with a -remarkably- U-shaped list of times:
. timer list
1: 24.24 / 1 = 24.2400
2: 18.06 / 1 = 18.0600
3: 13.92 / 1 = 13.9200
4: 8.20 / 1 = 8.2000
5: 5.24 / 1 = 5.2400
6: 9.40 / 1 = 9.4000
7: 14.46 / 1 = 14.4600
8: 19.04 / 1 = 19.0400
9: 29.87 / 1 = 29.8700
This may have much to do with my setup of the problem. How many covariates
are there in your -qreg- model, Jacob?
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Jacob Felson
Sent: Samstag, 5. Juni 2010 21:50
To: [email protected]
Subject: Re: st: RE: Quantile regression runtimes
Martin,
Sorry I was vague. The analytical sample was 673,721.
Jacob Felson
On Sat, Jun 5, 2010 at 3:28 PM, Martin Weiss <[email protected]> wrote:
>
> <>
>
> " on a very
> large dataset (the Census' 2008 American Community Survey 1% samples)."
>
>
> How large is the dataset exactly, Jacob? Remember, you cannot presume
every
> listmember is familiar with this dataset, even though in your profession
it
> may well be famous...
>
>
> HTH
> Martin
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Jacob Felson
> Sent: Samstag, 5. Juni 2010 21:04
> To: [email protected]
> Subject: st: Quantile regression runtimes
>
> I'm curious about the runtimes for quantile regression. I am running
> decile regressions (.1, .2, .3, .4, .5, .6, .7, .8, and .9) on a very
> large dataset (the Census' 2008 American Community Survey 1% samples).
> Runtimes generally decrease as deciles increase:
>
>
> Runtimes are in minutes
>
> .1 74.27413
> .2 34.95253
> .3 13.1072
> .4 8.738133
> .5 8.738133
> .6 4.369067
> .7 6.5536
> .8 8.738133
>
>
> I'm very curious -- why is the runtime for .1 regression so much
> higher than for .2? And what might explain the general pattern of
> these runtimes?
>
>
> Thanks,
>
> Jacob Felson
> Assistant Professor
> Department of Sociology
> William Paterson University
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