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From |
Partho Sarkar <partho.ss+lists@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: how can i make my loop run faster? |

Date |
Mon, 19 Sep 2011 22:18:47 +0530 |

Sorry, I made a mistake in that post. -rolling- will only work on one panel at a time, So you could do : levelsof firm==`z', local(firms) foreach j of local firms { rolling _b if firm=`j',w(20) saving(tryroll`j'): regress y x } Partho On Mon, Sep 19, 2011 at 10:02 PM, Partho Sarkar <partho.ss+lists@gmail.com> wrote: > I think the -rolling- time series command can help do this. E.g. > once you a) tsset the panel as before, and b) sort the dataset by > -sort panelvar datevar- > > rolling _b,w(20) saving(tryroll): regress y x > > would divide up your entire time span into overlapping windows of > width 20, run a regression for each panel in each window, and save the > panel ids, the start & end of each window, and the regression > coefficients, in a Stata data file called "tryroll". > > See -help rolling- and the manual entry for details & examples. Given > your special requirements, you will probably have to do this in 2 or > more steps, and manipulate the results further to get exactly what you > want. > > Partho > > On Mon, Sep 19, 2011 at 8:20 PM, Stefano Rossi <sr525@cornell.edu> wrote: >> Partho, >> >> Many thanks for this, it is very helpful. >> >> This raises one question, though: a crucial part of my procedure is that I need to run regressions only on 12 observations for each firm-period pair; that is, if a firm i has data back to period t=-50, say, I still have to run the regression only on the 12 observations from -1 to -12, ignoring all others. This worked well with my loop, but I do not see readily how to do this with statsby. Can you please advise? >> >> Best, >> >> Stefano >> >> >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Partho Sarkar >> Sent: Monday, September 19, 2011 1:06 AM >> To: statalist@hsphsun2.harvard.edu >> Subject: Re: st: how can i make my loop run faster? >> >> Stefano >> >> You don't seem to be actually making any use of the panel structure of >> the data. Stata has very neat built-in procedures for dealing with >> such data. >> >> Very briefly, 2 pointers (I am ignoring the special wrinkle in your >> problem that you want to run 20 seoarate regressions for each "firm >> i-period t" pair- you would have to adapt the procedure accordingly): >> >> A. I would use -tsfill, full- to fill in the time values and balance the panel. >> >> B. If you use tsset panelvar datavar (or xtset), where panelvar is >> your panel identifier, and datevar the date variable, you can use: >> >> statsby _b _se, by(panelvar): regress y x >> >> to do all the regressions in one go (assuming a single regression for >> each "firm i-period t" pair), rather than separately within a long >> loop. You can collect the results saved in r-class macros, as with >> _b & _se above. See -help statsby- >> >> Having said all that, I have never tried to run a set of regressions >> with 30,000 firms & 200 time periods in a single run of a program!!! >> I suspect this will be painfully slow no matter how efficient your >> code. An obvious alternative would be to split the firms into, say, 10 >> subsets, do the regression for each subset, and put all the results >> together. >> >> Hope this helps >> >> Partho Sarkar >> Consultant Econometrician >> Indicus Analytics >> New Delhi, India >> >> >> On Mon, Sep 19, 2011 at 5:22 AM, Stefano Rossi <sr525@cornell.edu> wrote: >>> Dear Statalist Users, >>> >>> I wonder if you can help me make a faster loop? >>> I have an unbalanced panel of about 30,000 firms and 200 periods, and for each "firm i-period t" pair I need to run 10 regressions on the 12 observations from t-1 to t-12 of the same firm i, and another 10 regressions on the observations from t+1 to t+12 of the same firm i. I have come up with the following program, which works well as it does what it should do, but it is very slow (due to the many ifs I suspect) - here's a simplified version of it with just two regressions: >>> >>> forval z = 1/30000 { >>> levelsof period if firm==`z', local(sample) >>> foreach j of local sample { >>> local k = `j' - 13 >>> capture reg y x if firm ==`z' & period<`j' & period>`k' & indicator==1 >>> if _rc==0 { >>> predict y_hat, xb >>> replace before = y_hat[_n-1] if firm == `z' & period == `j' >>> drop y_hat >>> } >>> local w = `j' + 13 >>> capture reg y x if firm ==`z' & period>`j' & period<`w' & indicator==1 >>> if _rc==0 { >>> predict y_hat, xb >>> replace after = y_hat[_n+1] if firm == `z' & period == `j' >>> drop y_hat >>> } >>> } >>> } >>> >>> Right now, it takes several minutes for each firm, so if I run it for the whole sample it would take weeks. >>> Is there any way to make it (a lot) faster? >>> >>> >>> * >>> * 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/ >> >> * >> * 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/

**Follow-Ups**:**Re: st: how can i make my loop run faster?***From:*Partho Sarkar <partho.ss+lists@gmail.com>

**References**:**st: how can i make my loop run faster?***From:*Stefano Rossi <sr525@cornell.edu>

**Re: st: how can i make my loop run faster?***From:*Partho Sarkar <partho.ss+lists@gmail.com>

**RE: st: how can i make my loop run faster?***From:*Stefano Rossi <sr525@cornell.edu>

**Re: st: how can i make my loop run faster?***From:*Partho Sarkar <partho.ss+lists@gmail.com>

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