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


From   Partho Sarkar <[email protected]>
To   [email protected]
Subject   Re: st: Slow -rolling- regressions on panel data
Date   Tue, 27 Sep 2011 17:39:42 +0530

That's the real point- -regress- is too much firepower for just
finding a set of correlations.  In fact, even -correlate- may be
rather heavier than necessary.  My guess about Mata being likely to be
faster (certainly more elegant!) is based on the general premise that
Mata is designed to be (much) faster than Stata for the things it can
do.  You might find "Mata, the missing manual" by William Gould a good
introduction.  Also "Programming in Stata and Mata", by Christopher F
Baum.  (Must say I have not had much occasion to actually use Mata so
far, but coming from a background in C, R & Matlab, Mata was a
thrilling find within Stata!)

Partho Sarkar
Consultant
Indicus Analytics
New Delhi, India


On Tue, Sep 27, 2011 at 4:29 PM, Richard Herron
<[email protected]> wrote:
> Thanks, all, for the input!
>
> I was able to get a serviceable solution using -correlate- to find beta.
>
> The next think I need to learn in Stats is writing my own .ado files
> and using Mata (when you loop over the existing functions, I think
> there can be too much overhead).
>
> On Tue, Sep 27, 2011 at 03:59, Nick Cox <[email protected]> wrote:
>> Actually, I would guess that Austin's suggestion will run faster than
>> this, but we're just trading speculation.
>>
>> Nick
>>
>> 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
>>> (http://www.stata.com/statalist/archive/2009-09/msg01239.html) 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?
>>>
>>
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