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st: Using statsby command for large panel data set

Subject   st: Using statsby command for large panel data set
Date   Wed, 16 Jul 2003 09:31:53 +0200

I have a large unbalanced panel data set (observations on over 8000 firms
for up to 135 periods).  I want to undertake some simple time-series
regressions for each firm and access the estimation results.  The statsby
command seems to be the appropriate command.  But given the number of
regressions, it takes a very long time to execute - in fact my impatience
has got the better of me on every occasion I have tried to run the command
on the full data set and I have interrupted the procedure.  One solution may
be to be more patient!  Another I thought of was to split the data set up
into smaller units, run the statsby command on each of the smaller data sets
and then merge the estimation results to give the required outcome.  But I
wondered if there were other ways that people have tried, or whether there
are ways to speed up the procedures.  I want to use the estimated
coefficients from the regressions to create transformations of the original
variables, so ideally I would like to work with the full dataset.  For info.
I am using Stata/SE 8.1

Thanks in advance for any advice.


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