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Re: RE: st: RE: mvreg with vce(robust)?


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: RE: st: RE: mvreg with vce(robust)?
Date   Tue, 13 Jul 2010 06:52:46 -0400

<>
On Jul 13, 2010, at 2:33 AM, Peter wrote:

> 
> The issue is as follows: -mvreg- runs much faster on an 8-core server than a loop of -reg- while generating the same results in my case (balanced panel). I assume that is due to the superior parallelization of the Mata code used in -mvreg-. The only difference is that -mvreg- cannot compute heteroskedasticity robust standard errors.

The reason that -mvreg- can run faster than a loop over -regress- is that -mvreg- forms the (X'X)^-1 matrix once and then postmultiplies it by X'Y, where Y is a matrix rather than a vector, yielding a corresponding matrix of b coefficients. It would be possible to 'roll your own' robust SEs, given the X matrix and the residuals from each equation estimated by -mvreg-, but in the interests of accuracy (you know that Stata computes these right, whereas your code might or might not do so) I would recommend looping over equations.




Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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