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st: Took forever to run an event study program


From   "Nian Huang" <huangnian@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Took forever to run an event study program
Date   Wed, 14 Mar 2007 00:19:27 -0500

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
model.
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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