Hello,
I am trying to estimate structured vector auto-regression (-svar), with Chelosky decomposition. What bothers me now, is that it takes ages to process the data with -svar-. I would love to ask for any recommendation to improve the efficiency of the data processing.
I need to run the -runby- for 55 years. But now, just one year data can take around 2 hour to process. It is not ideal and I would love to ask for any advice. Thanks!
I am trying to estimate structured vector auto-regression (-svar), with Chelosky decomposition. What bothers me now, is that it takes ages to process the data with -svar-. I would love to ask for any recommendation to improve the efficiency of the data processing.
Code:
program my_irf2
local gid = id[1]
gen mydate =_n
xtset id mydate
matrix A1 = (1,0,0 \ .,1,0 \ .,.,1)
matrix B1 = (.,0,0 \ 0,.,0 \ 0,0,.)
svar vwretd sdvol RET, lags(1/5) aeq(A1) beq(B1)
irf create order1, set(var2, replace) step(15)
gen response_rm_0 = e(A)[3,1] *-1
gen response_x_0 = e(A)[3,2] *-1
keep id response_rm_0 response_x_0
duplicates drop id, force
end
forval y = 1960/2015{
use `y'_scaled.dta, clear
keep PERMNO date RET vwretd size sdvol year id
runby my_irf2, by(id)
save `y'_irf2.dta, replace
}
Code:
* Example generated by -dataex-. For more info, type help dataex clear input double PERMNO long date double(RET vwretd) float(size sdvol year id) 10006 5845 -.006493506487458944 .008231689 218.025 -95625 1976 34211 10006 5848 0 .01806659 218.025 0 1976 34211 10006 5849 .08496732264757156 .01221413 236.55 377650 1976 34211 10006 5850 -.0060240961611270905 .005371325000000001 235.125 -330000 1976 34211 10006 5851 .0181818176060915 .006731177000000001 239.4 117600 1976 34211 10006 5852 .008928571827709675 .004472628 241.5375 207637.5 1976 34211 10006 5855 .02654867246747017 .013304120000000001 247.95 369750 1976 34211 10006 5856 0 -.006916028 247.95 0 1976 34211 10006 5857 .0028735632076859474 .01605946 248.6625 174500 1976 34211 10006 5858 .005730659235268831 -.0038988580000000007 250.0875 223762.5 1976 34211 10006 5859 -.0028490028344094753 .004578305 249.375 -428750 1976 34211 10006 5862 -.02857142873108387 .01220731 242.25 -178500 1976 34211 10006 5863 .0058823530562222 .004928043 243.675 705375 1976 34211 10006 5864 -.023391813039779663 -.004606988 237.975 -651300 1976 34211 10006 5865 .005988024175167084 -.0017014649999999999 239.4 113400 1976 34211 10006 5866 .0416666679084301 .01174169 249.375 503125 1976 34211 10006 5869 .02857142873108387 .004386288 256.5 976500 1976 34211 10006 5870 .03888889029622078 -.004936286000000001 266.475 949025 1976 34211 10006 5871 -.013368983753025532 -.004476277 262.9125 -558112.5 1976 34211 10006 5872 .01084010861814022 .01640626 265.7625 377662.5 1976 34211 10006 5873 0 .007567194000000001 265.7625 0 1976 34211 10006 5876 -.0160857904702425 .001673299 261.4875 -834925 1976 34211 10006 5877 .0272479560226202 .004400879 268.6125 640900 1976 34211 10006 5878 -.007957560010254383 .008833184000000001 266.475 -219725 1976 34211 10006 5879 -.026737967506051064 -.01254077 259.35 -486850 1976 34211 10006 5880 -.016483517363667488 -.008229951000000001 255.075 -948700 1976 34211 10006 5883 .011173184029757977 .002809287 257.925 475125 1976 34211 10006 5884 0 .007869854 257.925 0 1976 34211 10006 5885 .0220994483679533 .004568761 263.625 370000 1976 34211 10006 5886 .037837836891412735 -.0034362930000000004 273.6 643200 1976 34211 10006 5887 -.0078125 -.0039011340000000005 271.4625 -990600 1976 34211 10006 5891 .01312335953116417 -.004780653 275.025 236425 1976 34211 10006 5892 -.005181347019970417 .007819952 273.6 -297600 1976 34211 10006 5893 .0052083334885537624 .01614954 275.025 260550 1976 34211 10006 5894 .02590673603117466 .006970134 282.15 504900 1976 34211 10006 5897 -.014646464958786964 -.002790629 274.3125 -721875 1976 34211 10006 5898 .010389610193669796 .004899397000000001 277.1625 2839700 1976 34211 10006 5899 -.01799485832452774 -.0016441300000000002 272.175 -315150 1976 34211 10006 5900 -.007853402756154537 -.01432952 270.0375 -132650 1976 34211 10006 5901 .0052770450711250305 -.006408030000000001 271.4625 509587.5 1976 34211 10006 5904 .010498687624931335 .003109484 274.3125 202125 1976 34211 10006 5905 -.002597402548417449 .0057991250000000005 273.6 -76800 1976 34211 10006 5906 .01822916604578495 -.005391966000000001 278.5875 400775 1976 34211 10006 5907 0 -.009327616 278.5875 0 1976 34211 10006 5908 .0025575447361916304 .001517721 279.3 284200 1976 34211 10006 5911 .020408162847161293 .01013001 285 810000 1976 34211 10006 5912 .017500000074505806 .0026605450000000003 289.9875 651200 1976 34211 10006 5913 -.012285011820495129 .003824038 286.425 -296475 1976 34211 10006 5914 -.012437811121344566 .008563153 282.8625 -327525 1976 34211 10006 5915 -.007556675001978874 -.008520702 280.725 -241325 1976 34211 10006 5918 -.030456852167844772 -.01099493 272.175 -415425 1976 34211 10006 5919 -.007853402756154537 .009886018 270.0375 -189500 1976 34211 10006 5920 .01583113521337509 .00002507353 274.3125 173250 1976 34211 10006 5921 -.007792207878082991 -.003901867 272.175 -71625 1976 34211 10006 5922 .013089004904031754 .001095571 275.7375 164475 1976 34211 10006 5925 -.010335917584598064 .0008650320000000001 272.8875 -134050 1976 34211 10006 5926 -.007832897827029228 .01303327 270.75 -80750 1976 34211 10006 5927 .028947368264198303 .010395970000000001 278.5875 205275 1976 34211 10006 5928 0 -.005262262 278.5875 0 1976 34211 10006 5929 .0025575447361916304 .0010863700000000001 279.3 102900 1976 34211 10006 5932 -.005102040711790323 -.003916132 277.875 -87750 1976 34211 10006 5933 0 -.004011204 277.875 0 1976 34211 10006 5934 .012820512987673283 .006345531000000001 281.4375 345625 1976 34211 10006 5935 .025316456332802773 -.004034468 288.5625 455625 1976 34211 10006 5936 .0024691359139978886 .0003510866 289.275 35525 1976 34211 10006 5939 0 .01170649 289.275 0 1976 34211 10006 5940 .017241379246115685 -.0005859863 294.2625 433650 1976 34211 10006 5941 -.021791767328977585 -.01148907 287.85 -636300 1976 34211 10006 5942 -.017326733097434044 -.009503256 282.8625 -689787.5 1976 34211 10006 5943 0 -.01012046 282.8625 0 1976 34211 10006 5946 -.002518891589716077 -.0017659330000000001 282.15 -237600 1976 34211 10006 5947 .007575757801532745 .0065798079999999995 284.2875 69825 1976 34211 10006 5948 .00501253129914403 -.005900771 285.7125 70175 1976 34211 10006 5949 0 .003559686 289.87286 0 1976 34211 10006 5953 .0024937656708061695 .006928967 290.59576 85425 1976 34211 10006 5954 .017412934452295303 .01472894 295.65588 219837.5 1976 34211 10006 5955 .004889975767582655 .003874344 297.10162 174675 1976 34211 10006 5956 -.01946472004055977 -.0019829260000000003 291.31863 -317362.5 1976 34211 10006 5957 -.002481389557942748 -.0062642290000000005 290.59576 -432150 1976 34211 10006 5960 -.017412934452295303 .0009596320000000001 285.5356 -217250 1976 34211 10006 5961 -.010126582346856594 -.0049373740000000005 282.64413 -684250 1976 34211 10006 5962 .005115089472383261 .001835443 284.08987 221062.5 1976 34211 10006 5963 0 -.0001632027 284.08987 0 1976 34211 10006 5964 .01781170442700386 -.0037462500000000004 289.15 70000 1976 34211 10006 5967 -.0024999999441206455 -.008068697 288.42712 -219450 1976 34211 10006 5968 0 .005721005 288.42712 0 1976 34211 10006 5969 -.002506265649572015 -.00409789 287.70425 -49750 1976 34211 10006 5970 -.0025125627871602774 .0030966450000000003 286.98138 -84362.5 1976 34211 10006 5971 .002518891589716077 .007624582000000001 287.70425 194025 1976 34211 10006 5974 .01256281416863203 .01235602 291.31863 231725 1976 34211 10006 5975 -.007444168906658888 -.00040424 289.15 -660000 1976 34211 10006 5976 -.0024999999441206455 -.001331815 288.42712 -89775 1976 34211 10006 5977 .01002506259828806 -.005132389 291.31863 322400 1976 34211 10006 5978 -.012406948022544384 -.007415565000000001 287.70425 -258700 1976 34211 10006 5981 -.007537688594311476 -.0027651280000000004 285.5356 -83937.5 1976 34211 10006 5982 .0025316455867141485 .001333013 286.2585 39600 1976 34211 10006 5983 .005050505045801401 -.00015949910000000002 287.70425 184075 1976 34211 10006 5984 .007537688594311476 .006351148 289.87286 576437.5 1976 34211 10006 5985 -.0024937656708061695 -.005253565 289.15 -150000 1976 34211 10006 5988 -.012000000104308128 -.01627747 281.92126 -628875 1976 34211 end format %td date
