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.

Gretl works quite well for some time, but breaks down (i.e. does not react any more) somewhere during the process.

I suppose this occurs at the end, prior to returning the script output, which is quite lengthy (I do use  --quiet option after quantreg command).

I tried to eliminate the 16^th regressors, after which Gretl broke down the first time and redid the estimation using the other 15 regressors. This time,  I saved the matrices using mwrite()-function. After the 15^th round, Gretl broke down again. I opend the matrix number 15 in excel and saw that all rows and columns were filled with either data or, if the y-series was to short, with “nan”.

Is there an option to tell Gretl to suppress the entire script output or save it as .txt-file instead?

I am not sure, maybe it is an issue with my data, because system performance (RAM 8GB) is not supposed to be the limiting factor, is it?

Another possibility is that there is a mistake in my script. But you already were so kind, to hint, that, last time, I forget an endloop. This time I also counted my loop – endloop combinations (and they match).

Thanks in advance.

Best regard,

Jan