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st: Splitting Dataset - Save by unique identifier


From   "Tim Streibel" <Tim.Streibel@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Splitting Dataset - Save by unique identifier
Date   Sat, 27 Oct 2012 23:28:23 +0200

Hey all,

I am having a question I am currently computing abnormal returns in a way that implies opening a large dataset (about 2m obs.) about 400 times which I think costs a lot of time.

So my idea is to create small datasets (for each stock one dataset). Is there a way to quickly create a dataset only containing the observations of one stock (uniquely identified by Permno)?

Currently my only idea is to open the large dataset drop all obs. except the ones of one stock and save it. But doing that for every stock forces me to open the large dataset 10 000 times, so it doesn't really save me time.

Some combination of by (permno) and save would be cool.
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