Monday, January 02, 2006
st: Efficiency of calculating maximum likelihood
I'm trying to fit a model using stepwise selection, and so I reestimate fairly similar models over and over. Fitting a model using -streg- takes about an hour using my dataset. I noticed that two thirds of the calculation time is spent calculating the constant-only model - which is exactly the same for all the estimations. Is there any way of making stata use the results of previous calculations to save time in this process? It would be a great time-saver when doing forward/backwards (stepwise) selection.
I'm not using -stepwise- since I also noticed in stata 8.2 that it takes exactly twice as long to calculate as performing the calculations individually.
Thanks, Steinar Fossedal
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