st: merging two datasets: companies with daily stock data

["Nuno Soares" <ndsoares@gmail.com>]

Hi everyone,

I'm trying to implement a bit of code that I normally use in SAS, but I'm
having some trouble to implement in Stata given the magnitude of data that
it requires.
Imagine you have two data files: one with a list of companies with a given
date (say an event date) associated and the other with daily stock market
data. The file with the companies can have the same company with multiple
events. Problem: get the market data for a given period (say event date -
260 days).

This problems seems to be easily solved by using a m:1 merge with the
company ID as the merge variable. This would get all the daily data,
irrespective of the event date, into the merge file and I could then delete
those dates that are not needed.

Now, imagine the company and event date file has 1000 observations all of
which represent firms that have 10 years of daily market data, and I still
just want event date - 260 days. This would mean that the merge process
would lead to a file with 1000*10*260=2600000 observations, of which I only
needed 10%. As both the files become increasingly bigger, the time needed to
merge becomes longer and the memory requirements increase. 

In SAS I would only use a proc sql with the date restrictions, and it would
get the data needed. In Stata, it seems that all the daily data file (with
the restriction of the ID companies) is loaded into the memory and then we
need to delete want we don't need. Is there a way of restricting the amount
of daily data loaded into the memory in Stata using the  - merge - command,
or a command that allows to do that? The 2600000 is not that bad, but I
normally encounter 2 or three more times this number of observations...

Best wishes,

Nuno

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