Coding: performance in large databases

[EViews Glenn]

Here's some code with an example of the block calculation. It does so by computing sets of 2000 x 2000 correlations. The 7000 x 7000 results matrix is declared. In each block we pull off 1000 series and compute the correlation matrix for the 1000 plus a unique set of 1000. I'll let you do the placement of the individual sets into the results matrix. Alternately, you could skip the declaration of the full matrix, and do your analysis using results for the individual computations.

Code: Select all

wfcreate test u 1 360 for !i=1 to 7000 %s = "y" + @str(!i, "g04") series {%s} = nrnd next group a y* sym(7000) results !nser = 1000 !nblocks = 7000/!nser !blksize = 7000/!nblocks for !j=1 to !nblocks %s{!j} = "" for !k=1 to !blksize-1 !m = (!j-1)*!blksize + !k %s{!j} = %s{!j} + " " + a.@seriesname(!m) next string s{!j} = %s{!j} next for !j=1 to !nblocks for !k=!j+1 to !nblocks group grp_{!j}_{!k} {%s{!j}} {%s{!k}} do grp_{!j}_{!k}.cor(out=aa, pairwise) corr next next