st: Re: st: How do I suppress computatio​n of standard errors in stata gmm function?

[Michael Barker <mdb96statalist@gmail.com>]

Hi Howard,

I don't know of any way to switch off the standard error calculation,
but I would guess that doing so would not speed up the estimation very
much. If the GMM estimation is taking a long time, it is probably
spent in the minimization routine, finding the parameter estimates.
Once the minimization is complete, all of  the components to calculate
standard errors (gradients, etc.) have already been calculated.

When you run the estimator once, how much time elapses between the
final iteration and displaying results? That would be an upper bound
on the time savings from eliminating the standard error calculation.

Mike



On Tue, Jul 30, 2013 at 5:44 AM, Howard Smith
<howard.smith@economics.ox.ac.uk> wrote:
> I am using the gmm() function interactively in stata, with analytical gradients and two equations.
>
> I would like to obtain estimated parameters but not standard errors!
>
> This is to speed things up (for bootstrapping for example, but also just to try a few alternative specifications). I guess that computing standard errors takes time.
>
> My question then: Is it possible to "switch off" the computation of standard errors? If so, how? I have searched quite a lot to figure this out but can see no reference to it in documentation or in past statalist discussions.
>
> Many thanks for any assistance you can offer.
>
> Howard Smith
>
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