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Re: st: Dropping first 60 months of every Stock (Permno)
From
WEBER Sylvain <[email protected]>
To
"<[email protected]>" <[email protected]>
Subject
Re: st: Dropping first 60 months of every Stock (Permno)
Date
Sat, 27 Oct 2012 08:57:04 +0000
Hi Tim,
Looping over all observations is clearly inefficient.
Assuming you have a variable called "date" that contains the time period, and that you have no missing observations, something like this should work:
sort permno date
by permno (date): drop if _n<60&mi(ipoyr)
Hope this helps.
Sylvain
Le 27 oct. 2012 à 01:37, "Tim Streibel" <[email protected]> a écrit :
> Hey all,
>
> I am having some trouble with efficiently dropping the first 60 monthly observations of every stock (uniquely identified by the variable permno).
> Just briefly explaining some steps in advance:
> First if-clause helps me identifying that it's a new stock (and no ipo-stock), so that I should try to drop next 60 obs.
> The three if-clauses below try to check, whether there are even 60 obs. of that stock (for example: To avoid dropping stocks form the next Permno)
>
> So my problem is that it's going really, really slow. The dataset comprises 3.3 mio observations. However I think It should be possible to do that quicker than in a few days ;)
> I tried with an example dataset of 850 obs. and it looks like it's doing what I want it to do. However I cannot completely assure, that it's not somehow getting stuck in loop (but tried to think it through several times and I dont think so).
> Thanks in advance for your advice
>
> Here's my source code:
>
> local i=1
> local permno=permno[1]
> while `i'<=_N{ // Dropps the first 5 years of CRSP data to assure that matching firms are mature companies
> if permno[`i']!=`permno' & ipoyr1==.{
> local up=`i'+59
> if `up'<=_N & permno[`i']==permno[`up']{
> local permno=permno[`i']
> qui:drop in `i'/`up'
> }
> else if `up'>_N {
> local y=`i'
> local permno=permno[`i']
> while `y'<=_N & `permno'==permno[`y']{
> qui:drop in `y'
> }
> }
> else if permno[`i']!=permno[`up']{
> local x=0
> local permno=permno[`i']
> while `x'<=1{
> local sum=`i'+`x'
> if `permno'==permno[`sum']{
> qui:drop in `sum'
> }
> else{
> local x=`x'+1
> }
> }
> }
>
> }
> else{
> local i=`i'+1
> }
> }
>
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