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RE: st: -xtmixed- performance problem


From   "Hoffman, George" <ghoffman@mcw.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: -xtmixed- performance problem
Date   Sat, 11 Sep 2010 12:11:02 -0500

Would this model suffice?

>xi: xtreg y x1 x2 x3 x4 i.datevar, be

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Roberto G. Gutierrez, StataCorp
Sent: Saturday, September 11, 2010 10:08 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: -xtmixed- performance problem

Hobst <tobias.friedli@access.uzh.ch> writes:

> I want to run the following two-way error component regression in xtmixed,
> with cluster robust standard errors

> xtmixed y x1 x2 x3 x4 || _all: R.id || datevar:, mle residuals(, by(id))

> Without the term residuals(,by(id)) the regression is very fast, but with
> the the option included, it did only 2 iterations in 48h.

> Does anybody have any idea, what i could do to speed the regression up? Is
> there maybe an option to decrease accuracy or something like that?

In a later post on this thread you said you have 320 groups each with 12
observations.  When you added -residuals(, by(id))- in the above you specified
a heteroskedasticity model where you estimate a distinct residual variance for
each group.  This added 320 parameters to be estimated in your model, hence
the slowdown.

Cluster robust standard errors are currently not supported by -xtmixed-,
although that is something we are looking into adding in the future.

--Bobby
rgutierrez@stata.com
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