pvargmm runs out of memory on small data set

[R-user]

Upon trying to use panelvar's pvargmm command R runs out of memory even when using a small (100 observation) dataset. The data-set was self-generated and the problem can be recreated by running the code below:

library(panelvar)

N=100

Y=rnorm(N, mean = 0, sd = 1)
X=rnorm(N, mean = 0, sd = 1)

Y2=rnorm(N, mean = 0, sd = 1)
X2=rnorm(N, mean = 0, sd = 1)

for (i in 2:N){
X[i]=X[i]+0.5*Y[i-1]+0.3*X[i-1]
Y[i]=Y[i]+0.5*Y[i-1]-0.5*X[i-1]

X2[i]=X2[i]+0.5*Y2[i-1]+0.3*X2[i-1]
Y2[i]=Y2[i]+0.5*Y2[i-1]-0.5*X2[i-1]
}

id=array(1:(2*N))
id[1:N]=1
id[(N+1):(2*N)]=2

year=array(1:N)
year=c(year,year)

Var1=c(X,X2)
Var2=c(Y,Y2)

Data=data.frame(id=id,year=year,v1=Var1,v2=Var2)



pvargmm(dependent_vars = c("v1", "v2"),
                             lags = 1,
                             transformation = "fod",
                             data = Data,
                             panel_identifier=c("id", "year"),
                             steps = c("twostep"),
                             system_instruments = FALSE,
                             max_instr_dependent_vars = 99,
                             max_instr_predet_vars = 99,
                             min_instr_dependent_vars = 2L,
                             min_instr_predet_vars = 1L,
                             collapse = FALSE
)   

Upon running the error "cholmod error 'out of memory' ..." appears. What could be the issue?

[mara]

Related thread:

R Memory problem with Panelvar package

Hi everyone, I am a new user of R. I have been having problems running the 'pvargmm' function from the package PanelVar for several weeks now. It is a small code, but so far I've only been able to use it for a tiny dataset. I even tried running it on a virtual machine but I always get errors related to insufficient memory, such as "cannot allocate vector of size...", or "cholmod error 'out of memory' ..." My dataset contains 2784 observations, population 48, 58 years and 4 variables. Could you please help me with some solutions?

[R-user]

Thank you Mara.

I read the thread. Unfortunately a solution was not found. The user was asked to provide the data that caused the error. Perhaps now with the data a solution can be found. Information regarding pvargmm command can be accessed: https://rdrr.io/cran/panelvar/src/R/pvar.R. The error in specific is:

Error in .Arith.Csparse(e1, e2, .Generic, class. = "dgCMatrix") :
Cholmod error 'out of memory' at file ../Core/cholmod_memory.c, line 147

I have ran similar analysis before on other software, and there never were memory issues. Resolving the issue would be very helpful.

[R-user]

I am still trying to solve the issue. As a partial solution, reducing the lags reduces the presence of the error. However, even when the estimator runs correctly, the two and many step methods produce clearly biased output. Even the one step method produces clearly incorrect standard errors. Again the code of the method is here: https://rdrr.io/cran/panelvar/src/R/pvar.R