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st: Re: mvsumm calculation time

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: mvsumm calculation time
Date   Tue, 5 Aug 2008 07:16:34 -0400

< >
mvsumm is written in ado-file code. It probably should be rewritten to take advantage of Mata. Since -mvsumm- was implemented, Stata added the rolling: prefix. It might be faster to use -rolling- (which creates a separate dataset of summary statistics when combined with - summarize-) in this case.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Aug 5, 2008, at 02:33 , statalist-digest wrote:

I have calculated the standard deviation of firm-level revenue using the recommended mvsumm command such as:

mvsumm Revenue, stat(sd) win(5) gen(rev5ysd) end

I have the 64-bit version of Stata 10 SE (and a 64-bit computer). My sample size is over 1.1 million observations covering over 200,000 firms over 6 years. It took my computer about 24-hours to compute this statistic (although it worked just as advertised and gave me exactly the result I needed).

Does anyone have any recommendations to speed up computing time since I need to compute about 8 more similar commands and don't want to tie up my Stata for over a week? Or do I just need to accept the calculation time since my data is so large?
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