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Re: st: Took forever to run an event study program


From   SamL <saml@demog.berkeley.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Took forever to run an event study program
Date   Tue, 13 Mar 2007 23:14:10 -0800 (PST)

Hmm.  Thirty minutes=forever.  So, how long has my job, now on its
eleventh day, taken?  ;-)

Take care.
Sam

On Wed, 14 Mar 2007, Nian Huang wrote:

> 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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