Table 3.

Run time for the different steps in the data analysis.

Step	Description	Number of Cores	Time in Seconds
1	preprocessing	single core	9.475
2	initial lag selection	8 cores in parallel	422.505
3	history index function estimation	single core	3.414
4	lasso	8 cores in parallel	31.316
5	backfitting	single core	2565.715
6	smoothing	single core	0.012
	Total		3032.437