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st: GMM speed


From   "Li, Wei" <LiW@darden.virginia.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: GMM speed
Date   Sat, 21 May 2011 21:17:01 -0400

Dear Statalist Members, 

I tried to run the following simple nonlinear GMM specification with over 2 million observations. It took more than 10 hours to do iteration 0. I had to cancel the procedure and rerun the estimation using a 1% sample of the data to test the specification. I guess I could get a workstation with more than one processors and stata/MP... But that would be expensive...

I also tried to include the derivatives in the stata statement. Doing that increased speed quite a bit using the 1% sample. It is still taking a very long time (it is almost 16 hours and I am still waiting).  

Any suggestions?

Many thanks

Wei Li
University of Virginia

gmm (y-{a=0.4}*L.y-ln({b=0.1}*x1+{c=4}*x2+x3)+{a}*ln({a}*L.x1+{b}*L.x2+L.x3)-{c=0}),xtinstruments(y x1 x2 x3, lags(2/4)) instruments(L.x1) winitial(xt D) wmat(hac nw 2) vce(unadjusted)

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