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st: Multi-processor environment for time series regressions


From   "Christian Stammschulte" <cstamms@googlemail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Multi-processor environment for time series regressions
Date   Tue, 29 Jun 2010 17:02:33 +0200

Dear All,

I have a panel dataset with about 4,000 equity portfolios (id) with weekly
returns for about 4 years. For each of the ids, I am running a time series
regression on Carhart's (1997) four factors. Hence I obtain coefficients
(alpha,beta,etc) from the 4,000 regressions which I post into a dta-file for
subsequent use. 

Since I would like to determine the distribution of alphas from the
regressions, I am using 1,000 boostrapping simulations, each simulation
randomly determining periods which are taken into account for additional
4,000 regressions. 

This leads me to 4,000,000 regressions where the problems comes into play.
All regressions will be performed subsequently and not in parallel. Given
STATA's architecture, the calculations are very time consuming and
multi-processing doesn't help much. The question is whether there is any way
to run those regressions in parallel/more supporting a multi-processor
environment? I was thinking about a panel/mata-setup but unfortunately
haven't found a way yet.

Any help/good ideas would be much appreciated.

Best regards,

Christian Stammschulte
House of Finance - University of Frankfurt

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