I would go with the first inclination towards HPMIXED, which employs sparse matrix algorithms. I have not tried HPREG, but the documentation for yet another high performance proc (HPLMIXED) indicates that HPMIXED "is particularly suited for problems in which the [XZ]'[XZ] crossproducts matrix is sparse." And that sounds exactly like what is going on here. And while HPREG offers a lot of capability, it looks like it depends more on multithreading/parallel processing than on sparse matrix techniques. My question is--dummy1 to dummy2500 seems difficult. Are these dummies the result of more easily defined class variables, such that you can use the class statement to "auto-populate" the levels? If not, and the data set is already prepped, I would go with your first inclination. Steve Denham
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