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st: Took forever to run an event study program
Could someone who knows about the event study (Finance or Accounting
area) in Stata give me some hints? My stata took too long to run a
event study program.
My version is Intercool Stata.
I have around 1,300 events. For each event, I need to calculate CAR
(cumulative abnormal return) around the event based on the market
The event window is 3 days (-1, 1). The CAR is totalled for the 3 days period.
The estimation window is 241 days (-250, -10)
In Stata, for each event, a simple linear regression will be estimated
around the estimation window. Then based on the fitted line, residuals
will be calculated for the 3-day event window. Since I have around
1,300 events, Stata will do the same routine around 1,300 times.
I ran the program several times, and everytime it would take more than
30 minutes to finish the task.
I asked some of my colleagues--unfortunately, they use SAS instead of
Stata, and they said for the task, it only takes around several
seconds in SAS.
I want to know whether any Stata users have the similar situation
while running a event study program.
Is there any way to improve the program's efficiency?
Thank you very much.
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