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st: SAS vs STATA : why is xtlogit SO slow ?


From   k7br@gmx.fr
To   statalist@hsphsun2.harvard.edu
Subject   st: SAS vs STATA : why is xtlogit SO slow ?
Date   Wed, 1 Feb 2012 18:58:12 +0100

Dear Statalist,

I have a very large panel dataset (about 7mo observations, 70 000
individuals, 50 points on average per individual) and I tried
desperately to estimate a fixed effect logit using : xtlogit, fe with
Stata...
Unfortunately the log likelihood never converge and stops at iteration
1 or 2 saying that the matrix is not semi definite positive...
(Iteration 0:   log likelihood =    -1.#INF , etc)

However when I try with SAS (using proc Logistic with the strata
option) the computation is quite long (more than one hour) but at
least I can see the results...

My question is : how is that possible ? I believed that storing the
database into the RAM (as STATA do) would speed computations... and I
would love to use xtlogit (or clogit) instead of using SAS...

any idea ?

Many thanks,

Francesco
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