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Re: st: -xtmixed- performance problem

From (Roberto G. Gutierrez, StataCorp)
Subject   Re: st: -xtmixed- performance problem
Date   Sat, 11 Sep 2010 10:07:59 -0500

Hobst <> 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: || 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.

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