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From | rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp) |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: -xtmixed- performance problem |
Date | Sat, 11 Sep 2010 10:07:59 -0500 |
Hobst <tobias.friedli@access.uzh.ch> writes: > I want to run the following two-way error component regression in xtmixed, > with cluster robust standard errors > xtmixed y x1 x2 x3 x4 || _all: R.id || datevar:, mle residuals(, by(id)) > Without the term residuals(,by(id)) the regression is very fast, but with > the the option included, it did only 2 iterations in 48h. > Does anybody have any idea, what i could do to speed the regression up? Is > there maybe an option to decrease accuracy or something like that? In a later post on this thread you said you have 320 groups each with 12 observations. When you added -residuals(, by(id))- in the above you specified a heteroskedasticity model where you estimate a distinct residual variance for each group. This added 320 parameters to be estimated in your model, hence the slowdown. Cluster robust standard errors are currently not supported by -xtmixed-, although that is something we are looking into adding in the future. --Bobby rgutierrez@stata.com * * 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/