st: how can i make my loop run faster?

[Stefano Rossi <sr525@cornell.edu>]

Dear Statalist Users,

I wonder if you can help me make a faster loop?
I have an unbalanced panel of about 30,000 firms and 200 periods, and for each "firm i-period t" pair I need to run 10 regressions on the 12 observations from t-1 to t-12 of the same firm i, and another 10 regressions on the observations from t+1 to t+12 of the same firm i.  I have come up with the following program, which works well as it does what it should do, but it is very slow (due to the many ifs I suspect) - here's a simplified version of it with just two regressions:

forval z = 1/30000 {
levelsof period if firm==`z', local(sample) 
foreach j of local sample {
       local k = `j' - 13
       capture reg y x if firm ==`z' & period<`j' & period>`k' & indicator==1
       if _rc==0 { 
       predict y_hat, xb
       replace before = y_hat[_n-1] if firm == `z' & period == `j' 
       drop y_hat
       }
       local w = `j' + 13
       capture reg y x if firm ==`z' & period>`j' & period<`w' & indicator==1
       if _rc==0 { 
       predict y_hat, xb
replace after = y_hat[_n+1] if firm == `z' & period == `j' 
       drop y_hat
       }
       }
}

Right now, it takes several minutes for each firm, so if I run it for the whole sample it would take weeks.
Is there any way to make it (a lot) faster? 


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