Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Slow -rolling- regressions on panel data

From   Nick Cox <[email protected]>
To   [email protected]
Subject   Re: st: Slow -rolling- regressions on panel data
Date   Tue, 27 Sep 2011 08:59:21 +0100

Actually, I would guess that Austin's suggestion will run faster than
this, but we're just trading speculation.


On Tue, Sep 27, 2011 at 7:32 AM, Partho Sarkar
<[email protected]> wrote:
> Richard
> If all you really want is the autocorrelation coefficient, of course
> you don't really need -regress-, which does much more than just
> generate the regression coefficients.  As an alternative to Austin's
> suggestion (and apriori I would expect this to be faster)
> you could also get the AC's via matrix computations in Mata, successively
> passing the  y-vector (and the lagged y-vector?) for each firm to Mata
> within a loop, computing the sums, inner products etc., and passing
> the result back to Stata.
> Of course, Nick's point still holds: given your data size, this is
> likely to be time-consuming in any case.
> As a last thought, you are presumably interested in doing this for
> some "real" data- I think you might have an ill-conditioned matrix
> with your artificial example, which would partly account for the slow
> regressions.
> Hope this helps
> Partho
> ___________________________
> From  Richard Herron <[email protected]>
> To  [email protected]
> Subject  st: Slow -rolling- regressions on panel data
> Date  Mon, 26 Sep 2011 10:37:35 -0400
> ________________________________
> I am using -rolling- for rolling regressions on panel data, but it is
> exceedingly slow. I found a Statalist thread
> ( with a
> more manual solution, but it is equally slow (both are too slow to run
> to completion in a reasonable amount of time).
> Is -regress- the bottleneck? I only want the AR(1) coefficient; is
> there a different approach I should take? Are rolling
> regressions/calculations best done in different software?

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index