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Re: st: xt: unit-specific trends


From   László Sándor <sandorl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xt: unit-specific trends
Date   Wed, 18 Apr 2012 19:51:41 -0400

Or a quick idea: Shall I write an -egen- extension instead? Or all
benefits would come from its byability anyway?

2012/4/18 László Sándor <sandorl@gmail.com>:
> Let me get back to this now that I know how fast I am doing using -_dots-.
>
> Now I know it takes 3-4 minutes to loop through 200 cases while all I
> do each time is a trivial regression on 4-7 observations and
> predicting the residuals.
>
> I would greatly welcome suggestions on how to speed this up relative
> to the code below. Most likely checking all cases for the -if-
> condition when only few would satisfy and they could come in blocks
> after a single sort could help things but I am out of ideas how to do
> that. Making the code "byable" would at least use some features of MP?
>
> Thanks!
>
> Laszlo
>
> sum nid, d
> _dots 0
> forval i = 1/`r(max)' {
> foreach v of varlist assets liabs netassets koejd {
> cap reg `v' year post if nid == `i'
> if _rc == 0 {
> predict resid, resid
> qui replace r`v' = resid + _b[post]*post if e(sample)
> drop resid
> }
> }
> _dots `i' 0
> }
>
> 2012/4/13 László Sándor <sandorl@gmail.com>:
>> Hi all,
>>
>> I am trying to demean and detrend my panel data allowing for unit
>> specific trends (using Stata 11.0 MP for Windows). I found some
>> previous posts about this, but I am not satisfied with the speed of
>> the solutions. I would be most happy with a "byable" solution, like
>> this pseudocode:
>>
>> bys id: {
>> reg var t
>> pred dtrended_var, res
>> }
>>
>> I know this is not possible. However, looping through my ids and if
>> conditions is not feasible either (or I collect them into a local with
>> -levelsof-?). Actually, with all the if conditions, it is not
>> attractive either, let alone feasible. (Or if I sort by id, I can use
>> in conditions in the balanced subset, which I presume to be much
>> faster?)
>>
>> Or shall I just loop over a new id that will be consecutive integers
>> if I -egen, group- the old id (or do the same with ins)?
>>
>> I had some hopes about -xtdata- or -areg-, but to no avail. Yet I look
>> for some guidance on doing this the right way, if even the simple
>> -areg- could have been made faster by "orders of magnitude" from Stata
>> 11 to 12…
>>
>> Thank you for any thoughts,
>>
>> Laszlo
>>
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