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Hello,

I am using MLwiN through runmlwin to run multiprocess models with MCMC estimation. I would like to speed up the estimation process and after considering and reading about several alternatives, I would like to try to run parallel chains. However, I couldn't find any recommendation on how to do parallel chains with MLwiN.

Any material or information would be welcome!

Thank you all in advance.

Léa Pessin

Probably the best way to do this is to run your model with different starting values in several instances of Stata and then use the command to extract the MCMC chains into a datafile. Once these have all run you can merge your datafiles into one and use the command to get the estimates, etc from the chains. We currently don't provide a command to do multichain diagnostics (for example BGRD), however you may be able to use some of the command provided with the -winbugsfromstata- package (http://www2.le.ac.uk/departments/health ... from-stata).

I did write a prefix command some years ago to automate running multiple chains with runmlwin, however this runs the models in series and so wouldn't provide any speedup of the estimation.

Thanks for the quick answer.

That's what I have been doing so far but I wasn't sure whether I could use so that's good to know. Do you have any recommendation on how to choose starting values?

I'll also look into winbugs and, if I find anything useful, I'll report back on the forum in case it comes in handy for anyone else.