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From |
Andrew Maurer <Andrew.Maurer@qrm.com> |

To |
Statalist Statalist <statalist@hsphsun2.harvard.edu> |

Subject |
st: efficient programming in mata - "meanby()" example |

Date |
Mon, 24 Feb 2014 16:10:47 +0000 |

Hi Statalist, I'm trying to get an idea of how to program in mata as efficiently as possible. I'm starting by trying to code a program in mata that calculates means-by-groups and runs at least as quickly as stata's "collapse (mean)..., by()" function. My objective at the moment is to learn more about programming technique as opposed to creating something new. I've whittled down my code to what's shown in the meanby() function below. The idea is to: 1) Sort data by panel variable(s) 2) Loop through observations, keep a running sum of the "x" variable and of the count of nonmissing x values 3) Whenever a new panel is reached, write the previous panel's average to an "out" object and reset the running sums My version below takes 9 seconds, while Stata's collapse takes 5 seconds with the example data shown. Does anyone have any feedback on how I could improve my code or insight as to what's going on at a low level in Stata's "by... : gen..." syntax that makes it more efficient than the loop I've written? Thank you, Andrew Maurer ******* excerpt from Stata's "collapse" for comparison ************** `by' gen `ty' `y' = sum(`w'*`x')/sum(cond(`x'<.,`w',0)) `by' replace `y' = `y'[_N] sort `by' quietly by `by': keep if _n==_N ******* end Sata excerpt ******************************************** ***** define meanby() function ******** mata real matrix meanby(idname, xname) { // sort data in stata stata("sort " + idname) // load data into mata st_view(id=0, ., idname) st_view(data=0, ., xname) // initialize mata objects real matrix out real scalar idnum, val, previd, count, runsum runsum = 0 count = 0 previd = id[1,.] out = J(1, cols(id)+1, .) // loop through observations for (i=1; i<=rows(data); i++) { idnum = id[i,.] val = data[i,1] if (idnum != previd) { out = out \ (previd, runsum/count) count = 0 runsum = 0 } if (val != .) { count = count + 1 runsum = runsum + val } previd = idnum } // final row out = out \ (previd, runsum/count) // output (exclude "filler" first row) return(out[|(2,1)\(rows(out),2)|]) } end ***** end meanby() definition ********* ***** benchmark meanby vs stata collapse ***** // create some panel data // 30 panels, 100 dates long clear all local n 10000000 set obs `n' gen byte panelid = int( 30/`n' * (_n-1) ) gen int date = mod(_n,100) gen x = runiform() sort panelid date // time meanby() using same data timer on 1 qui mata: meanby("panelid date","x") timer off 1 timer list 1 // time Stata's collapse timer on 2 collapse (mean) x, by(panelid date) timer off 2 timer list 2 ***** end benchmark ************************** * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: efficient programming in mata - "meanby()" example***From:*Sergiy Radyakin <serjradyakin@gmail.com>

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