Yes, I have found that the choice of technique matters to run time for both procedures. The documentation for HPNLMOD says that LEVMAR technique is the default, but in my experience, the procedure always uses NRRIDG technique if I don’t specify the technique. I don’t know if it matters, but I am using the “general” distribution rather than a built-in distribution (i.e., using a user-defined likelihood function). I have found that, for a dataset of 500,000 obs or so, the NRRIDG technique was faster than other techniques. But once the dataset was more than 1,000,000 obs, it seems that the QUANEW technique becomes significantly faster.
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