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From |
Jeph Herrin <[email protected]> |

To |
[email protected] |

Subject |
st: tricks to speed up -xtmelogit- |

Date |
Tue, 21 Dec 2010 14:15:12 -0500 |

All, I am trying to estimate a series of models using 6 million observations; the observations are nested within 3000 groups, and the dichotomous outcome is somewhat rare, occurring in about 0.5% of observations. There are about 150 independent variables, and so my basic model looks like this: . xtmelogit Y x1-x150 || group: This took approximately 3 weeks to converge on a high end machine (3.2GHz, Intel Core i7, 24GB RAM). I saved the estimation result . est save main but now would like to estimate some related models of the form . xtmelogit Y x1-x150 z1 z2 || group: and would like to think I can shave some considerable time off the estimation using the prior information available. I tried . est use main . matrix b = e(b) . xtmelogit Y x1-x150 z1 z2 || group:, from(b) refineopts(iterate(0)) but this gave me an error that the likelihood was flat and nothing proceed. So I've thought of some other approaches, but am not sure what I expect to be most efficient, and would prefer not to spend weeks figuring it out. One idea was to use a sample, estimate the big model, and then use that as a starting point: . est use main . matrix b = e(b) . gen byte sample = (uniform()*1000)<1 . xtmelogit Y x1-x150 z1 z2 if sample || group:, from(b) . matrix b = e(b) . xtmelogit Y x1-x150 z1 z2 || group:, from(b) refineopts(iterate(0)) Another was to first use Laplace iteration, and start with that result: . est use main . matrix b = e(b) . xtmelogit Y x1-x150 z1 z2 if sample || group:, from(b) laplace . matrix b = e(b) . xtmelogit Y x1-x150 z1 z2 || group:, from(b) refineopts(iterate(0)) I'd appreciate any insight into which of these approaches might shave a meaningful amount of time off of getting the final estimates, or if there is another that I could try. thanks, Jeph * * 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/

**Follow-Ups**:**Re: st: tricks to speed up -xtmelogit-***From:*Sergiy Radyakin <[email protected]>

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