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Re: st: More efficient processing of nested loops?


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: More efficient processing of nested loops?
Date   Wed, 15 Aug 2012 18:07:47 +0100

egen cum_ab_temp = total(ab_ret) if `mark', by(cum_id_cum)
replace cum_ab = r(sum) if `mark'

should be

egen cum_ab_temp = total(ab_ret) if `mark', by(cum_id_cum)
replace cum_ab = cum_ab_temp if `mark'

On Wed, Aug 15, 2012 at 5:59 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> The good news is that I think you are right. This code appears to be
> much more complicated than it needs to be.
>
> I can't follow your word description -- doesn't mean it's unclear,
> just means that it is too much for me to absorb -- but from looking at
> your code there are several major and minor inefficiencies.
>
> The main problems are
>
> 1. You have two outer loops tangled together, one Stata's and one
> home-made, but neither appears necessary.
>
> 2. The inner loop is a loop over one case, and so not needed.
>
> 3. -egen- calls are very inefficient to calculate constants that
> -summarize- can calculate, except that #1 implies to me that you can
> do most of the work in a few -egen- calls.
>
> 4. Some copying of values from one place to another to no obvious purpose.
>
> With some guesswork, your code to me boils down to
>
> egen d2_temp_2 = min(datadate_2), by(cum_id_cum)
> egen dt_temp_2 = min(date_t_4), by(cum_id_cum)
> egen cusip_mode = mode(cusip), by(cum_id_cum)
> local mark "date <= d2_temp_2 & date >= dt_temp_2 & cusip_mode==cusip"
> egen cum_ab_temp = total(ab_ret) if `mark', by(cum_id_cum)
> replace cum_ab = r(sum) if `mark'
>
> Note that your use of "temporary variables" is not the same as Stata's.
>
> Nick
>
> On Wed, Aug 15, 2012 at 4:26 PM, Robson Glasscock <glasscockrc@vcu.edu> wrote:
>
>> I am running Stata 12. I have written code that creates a variable
>> that is the sum of abnormal returns for each firm. The abnormal
>> returns are accumulated from three days after the firm makes its
>> earnings announcement in quarter t-4 to three days after the firm
>> makes its earnings announcement in quarter t. My problem is that it
>> takes around 2 minutes for my code to execute for each firm/quarter
>> announcement, and there are around 150,000 earnings announcements in
>> the dataset.
>>
>> I modified a panel dataset with the earnings announcement dates for
>> each firm so that each observation contains both the quarter t
>> earnings announcement date and the quarter t-4 earnings announcement
>> date (with the three days added to each per above). I then merged this
>> dataset with a second panel dataset that contains the daily returns
>> for each firm. The merged dataset has around 10.2 million
>> observations.
>>
>> Next, I created a count variable, cum_id_cum, which is a running total
>> of each earnings announcement. This variable is truly cumulative and
>> does not reset back to 1 when the next firm releases its first
>> earnings announcement. The loop contains a variable, runn, that starts
>> with a value equal to "1" and increases by 1 each time the loop is
>> processed. I'm using that to help identify the particular dates of the
>> quarter t and quarter t-4 earnings announcement so that the abnormal
>> returns are accumulated over the correct period. Datadate_2 is the
>> quarter t earnings announcement and  date_t_4 is the quarter t-4
>> earnings announcement. Cusip is the identifier for each firm. Date is
>> the date of the firm's return in the stock market for each trading
>> day.
>>
>> The big picture of my approach was to create temporary variables that
>> will equal the cusip, datadate_2, and date_t_4 when runn equals
>> cum_id_cum. These first-step temporary variables (d2_temp, dt_temp,
>> and cusip_temp) have missing values except in the observation where
>> runn equals cum_id_cum so I created second-step temporary variables
>> (cusip_temp_2, d2_temp_2, and dt_temp_2) which place the cusip,
>> datadate_2, and date_t_4 values for each particular run through the
>> entire dataset. This allows me to mark the days for each firm that are
>> between the dates of the earnings announcements and then sum up the
>> abnormal returns in a temporary variable called cum_ab_temp. The final
>> variable with the sum of the abnormal returns for each firm is cum_ab
>> and is retained in the observation where _merge==3 (from the merge
>> mentioned in the second paragraph of this post).
>>
>> My code is below. Note that I constrain it to the first 25,000
>> cum_id_cum values due to macro size constraints:
>>
>> gen runn= 1
>> levelsof cum_id_cum if cum_id_cum !=. & cum_id_cum <25000, local(cum_id_cum)
>> foreach 1 of local cum_id_cum{
>> gen d2_temp= datadate_2 if runn== cum_id_cum
>> gen dt_temp= date_t_4 if runn== cum_id_cum
>> gen cusip_temp= cusip if runn== cum_id_cum
>> egen cusip_temp_2= mode(cusip_temp)
>> egen d2_temp_2= min(d2_temp)
>> egen dt_temp_2= min(dt_temp)
>> foreach x of varlist date{
>> replace mark= 1 if `x' <= d2_temp_2 & `x' >= dt_temp_2 & cusip_temp_2==cusip
>> egen cum_ab_temp= total(ab_ret) if mark==1
>> replace cum_ab= cum_ab_temp if datadate_2== d2_temp & dt_temp==
>> date_t_4 & cusip_temp==cusip & d2_temp !=. & dt_temp !=.
>> replace runn= runn+1
>> drop d2_temp
>> drop dt_temp
>> drop d2_temp_2
>> drop dt_temp_2
>> drop cusip_temp
>> drop cusip_temp_2
>> drop cum_ab_temp
>> replace mark=0
>>
>> }
>> }
>>
>> I'm wondering if there is a more efficient way to do the above which
>> will result in a significantly faster processing time. My fear is that
>> the above ignores the functionality of Stata and instead uses
>> inefficient brute force.
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