Re: st: merging two datasets: companies with daily stock data

[Dan Blanchette <dan.blanchette@duke.edu>]

Would this work for you?

 merge 1:1 company_id date using "daily market data.dta" ///
   keep(master match)

This will keep all the observations of the master data
and only keep data from the merging dataset that matches
by company_id and date.

HTH,
Dan Blanchette
Research Associate
Center for Entrepreneurship and Innovation
Duke University's Fuqua School of Business
dan.blanchette@duke.edu

> Hi,
>
> It is possible to load a subset of a dataset. The syntax is:
>
> use [varlist] [if] [in] using filename [, clear nolabel]
>
> See "help use" . In your case, I would think you will need the -if-
> qualifier for the date conditions.
>
> > On Thu, Nov 11, 2010 at 1:59 AM, Nuno Soares <ndsoares@gmail.com> wrote:
> > 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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