October 2019
 

Stata has several built-in limits in the engine. They mostly support the efficient memory allocation and overall make the commands run faster. For the majority of applications the limits are large enough so that the user will not even notice them (the detailed list of limits can be found here). This is, however, these one-in-a-million applications which may make Stata routines quite cumbersome.

The limit which I discovered recently was about the maximum macro length (or the maximum command length, difficult to judge). Even in Stata MP, the maximum number of characters in a macro can be up to 4,227,143 in Stata 14. In Stata 15 it is nearly 4 times more but as it did not fix the problem, I suspect that it is related to the command length rather than macro length.

I had to use the SQL query to select the records with certain identifiers. The average size of the identifier was...

January 2019
 

Popularity of binary choice models makes their applications more and more sophisticated, reaching beyond the simple low-dimension applications. The implications of having plenty of independent variables may be severe, making the likelihood function highly irregular or even impossible to be solved. Even if the local maximum can be found, it is likely to be unstable or it may take a lot of time and computing power, especially if the independent variables are simple dummies.

Stata
probit
function tries to address some of the above these issues. For instance, the algorithm will check which observations do not bring extra information to the model and leave them out from the estimation. However, this step can be taking too long for some of the Big Data problems. A quick solution is to tell Stata in advance which observations to exclude when running the probit. Here is a simple plug and play code snippet.

Firstly, I define a generic setup wit...


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M. Wolski
Marcin Wolski, PhD
Advisor to Vice-President
European Investment Bank
E-mail: M.Wolski (at) eib.org
Phone: +352 43 79 88708

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