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From | "Feiveson, Alan H. (JSC-SK311)" <alan.h.feiveson@nasa.gov> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: -nlcom- issues |
Date | Mon, 17 May 2010 15:52:06 -0500 |
Hi Stas - The previous time issue you were referencing is in http://www.stata.com/gsearch.php?q=increasing+time+burden&site=stata&client=stata&proxystylesheet=stata&output=xml_no_dtd Numeric issue - Just curious - can you make this happen with nl testing after a "standard" estimation command/ I would like to see an example. AL -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas Kolenikov Sent: Monday, May 17, 2010 12:34 PM To: statalist@hsphsun2.harvard.edu Subject: st: -nlcom- issues I have a couple of issues with -nlcom- that seem odd. To be specific (but I don't think that matters), I am estimating percentiles of an income distribution in two years of data (by a custom eclass command), and wrap them into a growth model (by -nlcom- -- I need a ratio of say 25th percentiles in two waves of data, pro-rated to be on the per annum scale). 1. Time issue: each next -nlcom- takes longer to run than the previous one, although at the face of it they should run at the same speed. I think the issue came up a few months ago on the list, and was traced down to how -testnl- (on which -nlcom- relies in computation of the standard errors) handles memory. In the original post, it even crashed Stata in some simulations when it used all available handles to temporary objects (or something of that nature). I was under impression that this oddity was fixed, but apparently it was not. 2. Numeric issue: the standard errors reported by -nlcom- tend to go down with the number of parameters. That is, I estimate say percentiles in numlist 10(10)90, and percentiles in numlist 2(2)98, and I form my growth in the percentile estimates from these two sets of estimates. While the estimates and their standard errors are identical between the two lists when they intersect (i.e., for the percentiles in the first list), the -nlcom- results match only in point estimates. The standard errors for these identical point estimates are smaller in the second case. I would say, disturbingly smaller, by about 20-25%. I'd be happy to share the code (and probably the data, too) with tech-support, if needed. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/