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Re: st: Re: st: How do I suppress computation of standard errors in stata gmm function?
From
Howard Smith <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Re: st: How do I suppress computation of standard errors in stata gmm function?
Date
Thu, 1 Aug 2013 09:20:39 +0000
Hi Mike
Thank for your reply.
> When you run the estimator once, how much time elapses between the
> final iteration and displaying results? That would be an upper bound
> on the time savings from eliminating the standard error calculation.
I did this upper bound check, and in fact that's why I wanted to turn off the standard errors.
Quite a lot of time elapses after the last iteration and the computation of standard errors: several minutes. Even though I supply analytical gradients.
I am not sure why it takes so long,
perhaps because I have a lot of parameters (50) and a very large dataset.
It's a pity they can't be switched off.
Howard
PS I hope I have responded to this reply correctly. I am a new statalist person, and I am not sure how to reply to people, given that I signed up to statalist in "digest" mode.
On Wed, Jul 31, 2013 at 9:40 AM, Michael Barker
<[email protected]> wrote:
> Hi Howard,
>
> I don't know of any way to switch off the standard error calculation,
> but I would guess that doing so would not speed up the estimation very
> much. If the GMM estimation is taking a long time, it is probably
> spent in the minimization routine, finding the parameter estimates.
> Once the minimization is complete, all of the components to calculate
> standard errors (gradients, etc.) have already been calculated.
>
> When you run the estimator once, how much time elapses between the
> final iteration and displaying results? That would be an upper bound
> on the time savings from eliminating the standard error calculation.
>
> Mike
>
>
>
> On Tue, Jul 30, 2013 at 5:44 AM, Howard Smith
> <[email protected]> wrote:
>> I am using the gmm() function interactively in stata, with analytical gradients and two equations.
>>
>> I would like to obtain estimated parameters but not standard errors!
>>
>> This is to speed things up (for bootstrapping for example, but also just to try a few alternative specifications). I guess that computing standard errors takes time.
>>
>> My question then: Is it possible to "switch off" the computation of standard errors? If so, how? I have searched quite a lot to figure this out but can see no reference to it in documentation or in past statalist discussions.
>>
>> Many thanks for any assistance you can offer.
>>
>> Howard Smith
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