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Re: st: Dropping first 60 months of every Stock (Permno)


From   WEBER Sylvain <sylvain.weber@unine.ch>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Dropping first 60 months of every Stock (Permno)
Date   Sat, 27 Oct 2012 08:57:04 +0000

Hi Tim,

Looping over all observations is clearly inefficient. 
Assuming you have a variable called "date" that contains the time period, and that you have no missing observations, something like this should work:

sort permno date
by permno (date): drop if _n<60&mi(ipoyr)


Hope this helps. 

Sylvain

Le 27 oct. 2012 à 01:37, "Tim Streibel" <Tim.Streibel@gmx.de> a écrit :

> Hey all,
> 
> I am having some trouble with efficiently dropping the first 60 monthly observations of every stock (uniquely identified by the variable permno).
> Just briefly explaining some steps in advance:
> First if-clause helps me identifying that it's a new stock (and no ipo-stock), so that I should try to drop next 60 obs.
> The three if-clauses below try to check, whether there are even 60 obs. of that stock (for example: To avoid dropping stocks form the next Permno) 
> 
> So my problem is that it's going really, really slow. The dataset comprises 3.3 mio observations. However I think It should be possible to do that quicker than in a few days ;)
> I tried with an example dataset of 850 obs. and it looks like it's doing what I want it to do. However I cannot completely assure, that it's not somehow getting stuck in loop (but tried to think it through several times and I dont think so).
> Thanks in advance for your advice
> 
> Here's my source code:
> 
> local i=1
> local permno=permno[1]
> while `i'<=_N{ // Dropps the first 5 years of CRSP data to assure that matching firms are mature companies
>    if permno[`i']!=`permno' & ipoyr1==.{
>        local up=`i'+59
>            if `up'<=_N & permno[`i']==permno[`up']{
>                local permno=permno[`i']
>                qui:drop in `i'/`up'
>            }
>            else if `up'>_N {
>                local y=`i'
>                local permno=permno[`i']
>                while `y'<=_N & `permno'==permno[`y']{
>                    qui:drop in `y'
>                }
>            }
>            else if permno[`i']!=permno[`up']{
>                local x=0
>                local permno=permno[`i']
>                while `x'<=1{
>                    local sum=`i'+`x'
>                    if `permno'==permno[`sum']{
>                        qui:drop in `sum'
>                    }
>                    else{
>                        local x=`x'+1
>                    }
>                }
>            }
>        
>    }
>    else{
>        local i=`i'+1
>    }
> }
> 
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