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


From   da2147@columbia.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Took forever to run an event study program
Date   Wed, 14 Mar 2007 06:48:15 -0400

Dear Nian

1. Getting to your problem, have you given Stata more memory ? If
you are running this program locally, then it could be the case
that your system has only given Stata a limited amount of memory
which will directly affect the running time of your program. (You
can check how much memory your system has already allocated Stata
using the 'memory' command and then give Stata more memory using
the 'set mem' command.)

2. Finally,  let me also say that you should not really be surprised
if Stata takes you 30 minutes. I have run programs that do maximum
likelihood estimation or arellano-bond that have taken several days
(sometimes weeks) to finish. I very often have to run programs that
I have to start just before I leave the office and leave it running
all night.


Divya~

Quoting SamL <saml@demog.berkeley.edu>:

> 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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> >
> *
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>


*
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