Re: [Gretl-users] gretl crashes during quantile regression

Jack, thank you as well. I have executed my script with the 16th regressor only. It ran through all the loops (497 steps) for 1317 funds without freezing after finishing as well as opening the script output. This lends support to my first assumption, that it is the script output, that might cause the problem. I am not able, to check that instantaneously, because, estimating the regressions for the first 15 regressors, took the computer more than three hours. Jan -----Ursprüngliche Nachricht----- Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Riccardo (Jack) Lucchetti Gesendet: Donnerstag, 7. Januar 2016 16:08 An: Gretl list <gretl-users(a)lists.wfu.edu&gt; Betreff: Re: [Gretl-users] gretl crashes during quantile regression On Thu, 7 Jan 2016, Jan Tille wrote: > Dear list members, > > I am trying to estimate several quantile regressions, each with a > constant and a single regressor, on a rolling basis (497 steps). The > quantile vector is set to q={0.1, 0.25, 0.5, 0.75, 0.90) yielding 5 > quantile regressions per step and individual (1317). Using a simple > weighting scheme, where the weights sum to 1, the estimated > conditional quantiles ("y-hats") are aggregated so that this yield one > estimate per step. > > Overall, I have 16 regressors and at the end, I intend to obtain one > matrix for each regressor. At the end of the day, this should amount > to > 497 (steps) * 1317(indiviuals) * 16(regressors) * 5(quantiles) = > 5,236,392,0 quantile regressions. [...] The only piece of advice I have for you at this stage, is: try reducing the size of your problem by cutting down the number of individuals and/or the number of steps, if possible. If the problem persists even with a much smaller combination, then the problem is most likely with gretl and we'll be able to diagnose what the problem is. If the problem goes away, perhaps the data you dropped contain some oddness. By some trial and error you should be able to isolate the offending observations and, again, we should be able to trace the cause(s) of your problem. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users