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st: Clustered errors without saving data in pagefile


From   v van kervel <v.l.vankervel@uvt.nl>
To   statalist@hsphsun2.harvard.edu
Subject   st: Clustered errors without saving data in pagefile
Date   Sat, 24 Sep 2011 12:18:33 -0700 (PDT)

Dear Statalist, 

I have a 25Gb dataset. A simple regression (regress) takes about 15 seconds
to run. However, when I specify clustered (or robust/ newey west) SEs, it
takes 1,5 hours. 

I believe the reason is that first the data in memory is copied to the
harddisk in a temporary pagefile, then the robust SEs are calculated and
saved, and finally the dataset is read into memory again. This is extremely
time consuming.

My question: Can I obtain clustered errors without copying the data in
memory to the hard disk? 

I have 40Gb Ram memory, so I expect this is enough space to do the
calculations in Ram memory only. 

Thank you, 

V van Kervel

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