Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Some Computational Aspects of Feasible GLS Estimation of Large Panels in R. |
| Συγγραφείς: |
Millo, Giovanni1 (AUTHOR) |
| Πηγή: |
Mathematics (2227-7390). Jun2026, Vol. 14 Issue 12, p2163. 17p. |
| Θεματικοί όροι: |
*Random effects model, *Object-oriented programming, *Mathematical optimization, *Least squares, *Estimation theory, *Computational statistics, *Parallel programming, *Panel analysis |
| Περίληψη: |
Econometric estimation of panel data models by feasible generalized least squares (FGLS) provides an example of how conceptually simple problems may run into computational bottlenecks. I address the main computational tasks of FGLS within the R system for statistical computing, comparing different tools from the point of view of computational efficiency. I concentrate on estimating two models: the popular "random effects" with two error components and the less restrictive "general GLS" specification, which does not fit into the standard computational framework usually employed for the former. I compare the standard solution (partial time demeaning) with two alternative strategies, based respectively on algebraic properties and on object-oriented programming. I show how, while naive implementations become infeasible with large datasets, both list operators and object-oriented matrix routines available in the R environment make the problem tractable for most practically relevant sample sizes on any machine. I conclude by briefly discussing the parallelization of critical tasks. [ABSTRACT FROM AUTHOR] |
| Βάση Δεδομένων: |
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