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From |
Benjamin Volland <volland@econ.mpg.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Computation Speed for Bootstrapping |

Date |
Mon, 05 Dec 2011 11:05:36 +0100 |

Dan,

When running the following very simple example: ****************** version 12 set more off timer clear webuse grunfeld, clear egen minvest = mean(invest), by(company) gen binvest = 1 if invest > minvest replace binvest = 0 if invest <= minvest xtset company time timer on 1 xtprobit binvest kstock mvalue matrix b = e(b) set seed 911 xtprobit binvest kstock mvalue, vce(boot, reps(20)) from(b) timer off 1 timer on 2 set seed 911 xtprobit binvest kstock mvalue, vce(boot, reps(20)) timer off 2 timer list ******************

. timer list 1: 3.50 / 1 = 3.5000 2: 4.16 / 1 = 4.1560

Best, Ben On 04/12/2011 05:05, Danny Dan wrote:

Thank you so much Ben for replying to my query. I have tried implementing your's and Jeph's suggestions but now it is giving me the following error r(2000): insufficient observations to compute bootstrap standard errors no results will be saved However, without those additional commands my bootstrap is running, although the computation is extremely slow (taking almost 4 days for only 50 reps. My data set contains 10,000 obs.). Also do you or any statalist users have any idea why the problem r(2000) (insufficient observations to compute bootstrap standard errors, no results will be saved) occurs and how to fix it? If yes, then please let me know. Thanks and Best wishes. Dan On Fri, Dec 2, 2011 at 5:08 AM, Benjamin Volland<volland@econ.mpg.de> wrote:Hi Danny, your most easy option is to follow Jeph's second suggestion. That is, run your estimation once on the full sample. Then use - matrix b = e(b) - and then simply re-use the same matrix as starting values for each bootstrap iteration, using the -from(b)- option in your -xtprobit- command. You'll probably have to check whether this increases estimation speed substantially using a small number of bootstrap interations, and simply compare the time with and without setting initial values. If you want to use different starting values in each iteration (though I somehow fail to see the improvement given that each bootstrap iteration simply draws a new sample from the original data), i.e. write your own bootstrap program, check the Sata FAQ from the UCLA on how to do it: http://www.ats.ucla.edu/stat/stata/faq/ownboot.htm Again, whether that substantially increases the speed of your estimation you would have to check. Best, Ben On 01/12/2011 23:41, Danny Dan wrote:Thank you so much for the answer Jeph. However, I do not know how to write the code as mentioned in your reply. If you can give me further insight that would be really helpful. Thanks once again. On Sun, Nov 27, 2011 at 10:06 AM, Jeph Herrin<stata@spandrel.net> wrote:One trick is to re-use the estimation from each model as the starting values for the next one. So after calling xtprobit, save the matrix e(b) and then use it with the -from(b)- option. xtprobit ... matrix b=e(b) xtprobit ...., from(b) But to do this, I think you'll have to write your own bootstrap code (not too difficult). Or you may get by with using -bootstrap:-, if you reuse the same matrix for each bootstrap. Hope this helps, Jeph On 11/26/2011 10:31 PM, Danny Dan wrote:Dear All, How to increase computation speed while generating standard errors using bootstrapping for panel data probit model (xtprobit, vce(bootstrap))? Reduction in the number of replications (reps()) is of no help. Please let me know. Thank you, Regards, Malini * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ ----- No virus found in this message. Checked by AVG - www.avg.com Version: 2012.0.1873 / Virus Database: 2101/4642 - Release Date: 11/27/11* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Computation Speed for Bootstrapping***From:*Danny Dan <danny2011dan@gmail.com>

**References**:**Re: st: Computation Speed for Bootstrapping***From:*Danny Dan <danny2011dan@gmail.com>

**Re: st: Computation Speed for Bootstrapping***From:*Benjamin Volland <volland@econ.mpg.de>

**Re: st: Computation Speed for Bootstrapping***From:*Danny Dan <danny2011dan@gmail.com>

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