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Re: st: Slow -rolling- regressions on panel data


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Slow -rolling- regressions on panel data
Date   Tue, 27 Sep 2011 08:59:21 +0100

Actually, I would guess that Austin's suggestion will run faster than
this, but we're just trading speculation.

Nick

On Tue, Sep 27, 2011 at 7:32 AM, Partho Sarkar
<partho.ss+lists@gmail.com> wrote:
> Richard
>
> If all you really want is the autocorrelation coefficient, of course
> you don't really need -regress-, which does much more than just
> generate the regression coefficients.  As an alternative to Austin's
> suggestion (and apriori I would expect this to be faster)
> you could also get the AC's via matrix computations in Mata, successively
> passing the  y-vector (and the lagged y-vector?) for each firm to Mata
> within a loop, computing the sums, inner products etc., and passing
> the result back to Stata.
>
> Of course, Nick's point still holds: given your data size, this is
> likely to be time-consuming in any case.
>
> As a last thought, you are presumably interested in doing this for
> some "real" data- I think you might have an ill-conditioned matrix
> with your artificial example, which would partly account for the slow
> regressions.
>
> Hope this helps
>
> Partho
>
> ___________________________
> From  Richard Herron <richard.c.herron@gmail.com>
> To  statalist@hsphsun2.harvard.edu
> Subject  st: Slow -rolling- regressions on panel data
> Date  Mon, 26 Sep 2011 10:37:35 -0400
> ________________________________
>
> I am using -rolling- for rolling regressions on panel data, but it is
> exceedingly slow. I found a Statalist thread
> (http://www.stata.com/statalist/archive/2009-09/msg01239.html) with a
> more manual solution, but it is equally slow (both are too slow to run
> to completion in a reasonable amount of time).
>
> Is -regress- the bottleneck? I only want the AR(1) coefficient; is
> there a different approach I should take? Are rolling
> regressions/calculations best done in different software?
>

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