Overview
| Installation
| Examples
| Remarks
| FAQs
| Benchmarks
| Compiling
Faster Stata for big data. This packages uses C plugins and hashes to provide a massive speed improvements to common Stata commands, including: collapse, reshape, xtile, tabstat, isid, egen, pctile, winsor, contract, levelsof, duplicates, and unique/distinct.
This package provides a fast implementation of various Stata commands
using hashes and C plugins. The syntax and purpose is largely analogous
to their Stata counterparts; for example, you can replace collapse
with gcollapse
, reshape
with greshape
, and so on. For a
comprehensive list of differences (including some extra features!)
see the remarks below; for details and examples see the
official project page.
Quickstart
ssc install gtools
gtools, upgrade
Some quick benchmarks:
Gtools commands with a Stata equivalent
Function | Replaces | Speedup (IC / MP) | Unsupported | Extras |
---|---|---|---|---|
gcollapse | collapse | 9 to 300 / 4 to 120 (+) | Quantiles, merge, labels, nunique, etc. | |
greshape | reshape | 4 to 20 / 4 to 15 | "advanced syntax" | fast , spread/gather (tidyr equiv) |
gegen | egen | 9 to 26 / 4 to 9 (+,.) | labels | Weights, quantiles, nunique, etc. |
gcontract | contract | 5 to 7 / 2.5 to 4 | ||
gisid | isid | 8 to 30 / 4 to 14 | using , sort |
if , in |
glevelsof | levelsof | 3 to 13 / 2 to 7 | Multiple variables, arbitrary levels | |
gduplicates | duplicates | 8 to 16 / 3 to 10 | ||
gquantiles | xtile | 10 to 30 / 13 to 25 (-) | by() , various (see usage) |
|
pctile | 13 to 38 / 3 to 5 (-) | Ibid. | ||
_pctile | 25 to 40 / 3 to 5 | Ibid. | ||
gstats tab | tabstat | 10 to 50 / 5 to 30 | See remarks | various (see usage) |
gstats sum | sum, detail | 10 to 20 / 5 to 10 | See remarks | various (see usage) |
(+) The upper end of the speed improvements are for quantiles (e.g. median, iqr, p90) and few groups. Weights have not been benchmarked.
(.) Only gegen group was benchmarked rigorously.
(-) Benchmarks computed 10 quantiles. When computing a large
number of quantiles (e.g. thousands) pctile
and xtile
are prohibitively
slow due to the way they are written; in that case gquantiles is hundreds
or thousands of times faster, but this is an edge case.
Extra commands
Function | Similar (SSC/SJ) | Speedup (IC / MP) | Notes |
---|---|---|---|
fasterxtile | fastxtile | 20 to 30 / 2.5 to 3.5 | Can use by() |
egenmisc (SSC) (-) | 8 to 25 / 2.5 to 6 | ||
astile (SSC) (-) | 8 to 12 / 3.5 to 6 | ||
gstats winsor | winsor2 | 10 to 40 / 10 to 20 | Can use weights |
gunique | unique | 4 to 26 / 4 to 12 | |
gdistinct | distinct | 4 to 26 / 4 to 12 | Also saves results in matrix |
gtop (gtoplevelsof) | groups, select() | (+) | See table notes (+) |
(-) fastxtile
from egenmisc and astile
were benchmarked against
gquantiles, xtile
(fasterxtile
) using by()
.
(+) While similar to the user command 'groups' with the 'select'
option, gtoplevelsof does not really have an equivalent. It is several
dozen times faster than 'groups, select', but that command was not written
with the goal of gleaning the most common levels of a varlist. Rather, it
has a plethora of features and that one is somewhat incidental. As such, the
benchmark is not equivalent and gtoplevelsof
does not attempt to implement
the features of 'groups'
Extra features
Several commands offer additional features on top of the massive speedup. See the remarks section below for an overview; for details and examples, see each command's help page:
In addition, several commands take gsort-style input, that is
[+|-]varname [[+|-]varname ...]
This does not affect the results in most cases, just the sort order. Commands that take this type of input include:
- gcollapse
- gcontract
- gegen
- glevelsof
- gtop (gtoplevelsof)
Ftools
The commands here are also faster than the commands provided by
ftools
; further, gtools
commands take a mix of string and numeric
variables, which is a limitation of ftools
. (Note I could not get
several parts of ftools
working on the Linux server where I have
access to Stata/MP; hence the IC benchmarks.)
Gtools | Ftools | Speedup (IC) |
---|---|---|
gcollapse | fcollapse | 2-9 |
gegen | fegen | 2.5-4 (+) |
gisid | fisid | 4-14 |
glevelsof | flevelsof | 1.5-13 |
hashsort | fsort | 2.5-4 |
(+) Only egen group was benchmarked rigorously.
Limitations
-
strL
variables only partially supported on Stata 14 and above;gcollapse
,gcontract
, andgreshape
do not supportstrL
variabes. -
Due to a Stata bug, gtools cannot support more than
2^31-1
(2.1 billion) observations. See this issue -
Due to limitations in the Stata Plugin Interface, gtools can only handle as many variables as the largest
matsize
in the user's Stata version. For MP this is more than 10,000 variables but in IC this is only 800. See this issue. -
Gtools uses compiled C code to achieve it's massive increases in speed. This has two side-effects users might notice: First, it is sometimes not possible to break the program's execution. While this is already true for at least some parts of most Stata commands, there are fewer opportunities to break Gtools commands relative to their Stata counterparts.
Second, the Stata GUI might appear frozen when running Gtools commands. If the system then runs out of RAM (memory), it could look like Stata has crashed (it may show a "(Not Responding)" message on Windows or it may darken on *nix systems). However, the program has not crashed; it is merely trying to swap memory. To check this is the case, the user can monitor disk activity or monitor their system's pagefile or swap space directly.
-
The OSX version of gtools was implemented with invaluable help from @fbelotti in issue 11.
-
Gtools was largely inspired by Sergio Correia's (@sergiocorreia) excellent ftools package. Further, several improvements and bug fixes have come from to @sergiocorreia's helpful comments.
-
With the exception of
greshape
, every gtools command was eventually written almost entirely from scratch (and evengreshape
is mostly new code). However, gtools commands typically mimic the functionality of existing Stata commands, including community-contributed programs, meaning many of the ideas and options are based on them (see the respective help files for details).gtools
commands based on community-contributed programs include:-
gstats winsor
, based onwinsor2
by Lian (Arlion) Yujun -
gunique
, based onunique
by Michael Hills and Tony Brady. -
gdistinct
, based ondistinct
by Gary Longton and Nicholas J. Cox.
-
I only have access to Stata 13.1, so I impose that to be the minimum.
You can install gtools
from Stata via SSC:
ssc install gtools
gtools, upgrade
By default this syncs to the master branch, which is stable. To install the latest version directly, type:
local github "https://raw.githubusercontent.com"
net install gtools, from(`github'/mcaceresb/stata-gtools/master/build/)
The syntax is generally analogous to the standard commands (see the corresponding help files for full syntax and options):
sysuse auto, clear
* gstats {sum|tab} varlist [if] [in] [weight], [by(varlist) options]
gstats sum price [pw = gear_ratio / 4]
gstats tab price mpg, by(foreign) matasave
* gquantiles [newvarname =] exp [if] [in] [weight], {_pctile|xtile|pctile} [options]
gquantiles 2 * price, _pctile nq(10)
gquantiles p10 = 2 * price, pctile nq(10)
gquantiles x10 = 2 * price, xtile nq(10) by(rep78)
fasterxtile xx = log(price) [w = weight], cutpoints(p10) by(foreign)
* gstats winsor varlist [if] [in] [weight], [by(varlist) cuts(# #) options]
gstats winsor price gear_ratio mpg, cuts(5 95) s(_w1)
gstats winsor price gear_ratio mpg, cuts(5 95) by(foreign) s(_w2)
drop *_w?
* hashsort varlist, [options]
hashsort -make
hashsort foreign -rep78, benchmark verbose mlast
* gegen target = stat(source) [if] [in] [weight], by(varlist) [options]
gegen tag = tag(foreign)
gegen group = tag(-price make)
gegen p2_5 = pctile(price) [w = weight], by(foreign) p(2.5)
* gisid varlist [if] [in], [options]
gisid make, missok
gisid price in 1 / 2
* gduplicates varlist [if] [in], [options gtools(gtools_options)]
gduplicates report foreign
gduplicates report rep78 if foreign, gtools(bench(3))
* glevelsof varlist [if] [in], [options]
glevelsof rep78, local(levels) sep(" | ")
glevelsof foreign mpg if price < 4000, loc(lvl) sep(" | ") colsep(", ")
glevelsof foreign mpg in 10 / 70, gen(uniq_) nolocal
* gtop varlist [if] [in] [weight], [options]
* gtoplevelsof varlist [if] [in] [weight], [options]
gtoplevelsof foreign rep78
gtop foreign rep78 [w = weight], ntop(5) missrow groupmiss pctfmt(%6.4g) colmax(3)
* gcollapse (stat) out = src [(stat) out = src ...] [if] [if] [weight], by(varlist) [options]
gen h1 = headroom
gen h2 = headroom
local lbl labelformat(#stat:pretty# #sourcelabel#)
gcollapse (mean) mean = price (median) p50 = gear_ratio, by(make) merge v `lbl'
disp "`:var label mean', `:var label p50'"
gcollapse (iqr) irq? = h? (nunique) turn (p97.5) mpg, by(foreign rep78) bench(2) wild
* gcontract varlist [if] [if] [fweight], [options]
gcontract foreign [fw = turn], freq(f) percent(p)
* greshape wide varlist, i(i) j(j) [options]
* greshape long prefixlist, i(i) [j(j) string options]
*
* greshape spread varlist, j(j) [options]
* greshape gather varlist, j(j) value(value) [options]
gen j = _n
greshape wide f p, i(foreign) j(j)
greshape long f p, i(foreign) j(j)
greshape spread f p, j(j)
greshape gather f? p?, j(j) value(fp)
See the FAQs or the respective documentation for a list of supported
gcollapse
and gegen
functions.
Functions available with gegen
, gcollapse
, gstats tab
gcollapse
supports every collapse
function, including their
weighted versions. In addition, weights can be selectively applied via
rawstat()
, and several additional statistics are allowed, including
nunique
, select#
, and so on.
gegen
technically does not support all of egen
, but whenever a
function that is not supported is requested, gegen
hashes the data and
calls egen
grouping by the hash, which is often faster (gegen
only
supports weights for internal functions, since egen
does not normally
allow weights).
Hence both should be able to replicate all of the functionality of their
Stata counterparts. Last, gstats tab
allows every statistic allowed
by tabstat
as well as any statistic allowed by gcollapse
; the
syntax for the statistics specified via statistics()
is the same
as in tabstat
.
The following are implemented internally in C:
Function | gcollapse | gegen | gstats tab |
---|---|---|---|
tag | X | ||
group | X | ||
total | X | ||
count | X | X | X |
nunique | X | X | X |
nmissing | X | X | X |
sum | X | X | X |
nansum | X | X | X |
rawsum | X | X | |
rawnansum | X | X | |
mean | X | X | X |
median | X | X | X |
percentiles | X | X | X |
iqr | X | X | X |
sd | X | X | X |
variance | X | X | X |
cv | X | X | X |
max | X | X | X |
min | X | X | X |
range | X | X | X |
select | X | X | X |
rawselect | X | X | |
percent | X | X | X |
first | X | X (+) | X |
last | X | X (+) | X |
firstnm | X | X (+) | X |
lastnm | X | X (+) | X |
semean | X | X | X |
sebinomial | X | X | X |
sepoisson | X | X | X |
skewness | X | X | X |
kurtosis | X | X | X |
(+) first, last, firstmn, and lastnm are different from their counterparts in the egenmore package and, instead, they are analogous to the gcollapse counterparts.
The percentile syntax mimics that of collapse
and egen
, with the addition
that quantiles are also supported. That is,
gcollapse (p#) target = var [target = var ...] , by(varlist)
gegen target = pctile(var), by(varlist) p(#)
where # is a "percentile" with arbitrary decimal places (e.g. 2.5 or 97.5).
gtools
also supports selecting the #
th smallest or largest value:
gcollapse (select#) target = var [(select-#) target = var ...] , by(varlist)
gegen target = select(var), by(varlist) n(#)
gegen target = select(var), by(varlist) n(-#)
Last, when gegen
calls a function that is not implemented internally
by gtools
, it will hash the by variables and call egen
with by
set to an id based on the hash. That is, if fcn
is not one of the
functions above,
gegen outvar = fcn(varlist) [if] [in], by(byvars)
would be the same as
hashsort byvars, group(id) sortgroup
egen outvar = fcn(varlist) [if] [in], by(id)
but preserving the original sort order. In case an egen
option might
conflict with a gtools option, the user can pass gtools_capture(fcn_options)
to gegen
.
Differences and Extras
Differences from collapse
- String variables are not allowed for
first
,last
,min
,max
, etc. (see issue 25) - New functions:
nunique
,nmissing
,cv
,variance
,select#
,select-#
,range
rawstat
allows selectively applying weights.rawselect
ignores weights forselect
(analogously torawsum
).- Option
wild
allows bulk-rename. E.g.gcollapse mean_x* = x*, wild
gcollapse (nansum)
andgcollapse (rawnansum)
outputs a missing value for sums if all inputs are missing (instead of 0).gcollapse, merge
merges the collapsed data set back into memory. This is much faster than collapsing a dataset, saving, and merging after. However, Stata'smerge ..., update
functionality is not implemented, only replace. (If the targets exist the function will throw an error withoutreplace
).gcollapse, labelformat
allows specifying the output label using placeholders.gcollapse, sumcheck
keeps integer types withsum
if the sum will not overflow.
Differences from greshape
- Allows an arbitrary number of variables in
i()
andj()
- Several option allow turning off error checks for faster execution,
including:
fast
(similar tofast
ingcollapse
),unsorted
(do not sort the output),nodupcheck
(allow duplicates ini
),nomisscheck
(allow missing values and/or leading blanks inj
), ornochecks
(all of the above). - Subcommands
gather
andspread
implement the equivalent commands from R'stidyr
package. - At the moment,
j(name [values])
is not supported. All values ofj
are used. - "reshape mode" is not supported. Reshape variables are not saved as
part of the current dataset's characteristics, meaning the user cannot
type
reshape wide
andreshape long
without further arguments to reverse thereshape
. This syntax is very cumbersome and difficult to support;greshape
re-wrote much of the code base and had to dispense with this functionality. - For that same reason, "advanced" syntax is not supported, including the subcommands: clear, error, query, i, j, xij, and xi.
@
syntax can be modified viamatch()
Differences from xtile
, pctile
, and _pctile
- Adds support for
by()
(including weights) - Does not ignore
altdef
withxtile
(see this Statalist thread) - Category frequencies can also be requested via
binfreq[()]
. xtile
,pctile
, and_pctile
can be combined viaxtile(newvar)
andpctile(newvar)
- There is no limit to
nquantiles()
forxtile
- Quantiles can be requested via
percentiles()
(orquantiles()
),cutquantiles()
, orquantmatrix()
forxtile
as well aspctile
. - Cutoffs can be requested via
cutquantiles()
,cutoffs()
, orcutmatrix()
forxtile
as well aspctile
. - The user has control over the behavior of
cutpoints()
andcutquantiles()
. They obeyif
in
with optioncutifin
, they can be group-specific with optioncutby
, and they can be de-duplicated viadedup
. - Fixes numerical precision issues with
pctile, altdef
(e.g. see this Statalist thread, which is a very minor thing so Stata and fellow users maintain it's not an issue, but I think it is because Stata/MP gives what I think is the correct answer whereas IC and SE do not). - Fixes a possible issue with the weights implementation in
_pctile
; see this thread.
Differences from egen
group
label options are not supported- weights are supported for internally implemented functions.
- New functions:
nunique
,nmissing
,cv
,variance
,select#
,select-#
,range
gegen
upgrades the type of the target variable if it is not specified by the user. This means that if the sources aredouble
then the output will be double. All sums are double.group
creates along
or adouble
. And so on.egen
will default to the system type, which could cause a loss of precision on some functions.- For internally supported functions, you can specify a varlist as the source, not just a single variable. Observations will be pooled by row in that case.
- While
gegen
is much faster fortag
,group
, and summary stats, most egen function are not implemented internally, meaning for arbitrarygegen
calls this is a wrapper for hashsort and egen.
Differences from tabstat
- Multiple groups are allowed.
- Saving the output is done via
mata
instead ofr()
. No matrices are saved inr()
and optionsave
is not allowed. However, optionmatasave
saves the output andby()
info inGstatsOutput
(the object can be named viamatasave(name)
). Seemata GstatsOutput.desc()
aftergstats tab, matasave
for details. GstatsOutput
provides helpers for extracting rows, columns, and levels.- Options
casewise
,longstub
are not supported. - Option
nototal
is on by default;total
is planned for a future release. - Option
pooled
pools the source variables into one.
Differences from summarize, detail
- The behavior of
summarize
andsummarize, meanonly
can be recovered via optionsnodetail
andmeanonly
. These two options are mainly for use withby()
- Option
matasave
saves output andby()
info inGstatsOutput
, a mata class object (the object can be named viamatasave(name)
). Seemata GstatsOutput.desc()
aftergstats sum, matasave
for details. - Option
noprint
saves the results but omits printing output. - Option
tab
prints statistics in the style oftabstat
- Option
pooled
pools the source variables and computes summary stats as if it was a single variable. pweights
are allowed.- Largest and smallest observations are weighted.
rolling:
,statsby:
, andby:
are not allowed. To useby
pass the optionby()
display options
are not supported.- Factor and time series variables are not allowed.
Differences from levelsof
- It can take a
varlist
and not just avarname
; in that case it prints all unique combinations of the varlist. The user can specify column and row separators. - It can deduplicate an arbitrary number of levels and store the results in a
new variable list or replace the old variable list via
gen(prefix)
andgen(replace)
, respectively. If the user runs up against the maximum macro variable length, add optionnolocal
.
Differences from isid
- No support for
using
. The C plugin API does not allow to load a Stata dataset from disk. - Option
sort
is not available. - It can also check IDs with
if
andin
conditions.
Differences from gsort
hashsort
behaves as ifmfirst
was passed. To recover the default behavior ofgsort
pass optionmlast
.
Differences from duplicates
gduplicates
does not sortexamples
orlist
by default. This massively enhances performance but it might be harder to read. Pass optionsort
(sorted
) to mimicduplicates
behavior and sort the list.
There are two key insights to the massive speedups of Gtools:
-
Hashing the data and sorting a hash is a lot faster than sorting the data to then process it by group. Sorting a hash can be achieved in linear O(N) time, whereas the best general-purpose sorts take O(N log(N)) time. Sorting the groups would then be achievable in O(J log(J)) time (with J groups). Hence the speed improvements are largest when N / J is largest.
-
Compiled C code is much faster than Stata commands. While it is true that many of Stata's underpinnings are compiled code, several operations are written in
ado
files without much thought given to optimization. If you're working with tens of thousands of observations you might barely notice (and the difference between 5 seconds and 0.5 seconds might not be particularly important). However, with tens of millions or hundreds of millions of rows, the difference between half a day and an hour can matter quite a lot.
Stata Sorting
It should be noted that Stata's sorting mechanism is hard to improve
upon because of the overhead involved in sorting. We have implemented a
hash-based sorting command, hashsort
, which should be faster Stata's
sort
for groups, but not necessarily otherwise:
Function | Replaces | Speedup (IC / MP) | Unsupported | Extras |
---|---|---|---|---|
hashsort | sort | 2.5 to 4 / .8 to 1.3 | Group (hash) sorting | |
gsort | 2 to 18 / 1 to 6 | mfirst (see mlast ) |
Sorts are stable |
The overhead involves copying the by variables, hashing, sorting the hash,
sorting the groups, copying a sort index back to Stata, and having Stata do
the final swaps. The plugin runs fast, but the copy overhead plus the Stata
swaps often make the function be slower than Stata's native sort
.
The reason that the other functions are faster is because they don't deal with
all that overhead. By contrast, Stata's gsort
is not efficient. To sort
data, you need to make pair-wise comparisons. For real numbers, this is just
a > b
. However, a generic comparison function can be written as compare(a, b) > 0
.
This is true if a is greater than b and false otherwise. To invert
the sort order, one need only use compare(b, a) > 0
, which is what gtools
does internally.
However, Stata creates a variable that is the inverse of the sort variable.
This is equivalent, but the overhead makes it slower than hashsort
.
- Update benchmarks for all commands. Still on 0.8 benchmarks.
- Implement
collapse()
option forgreshape
. -
geomean
for geometric mean (exp(mean(log(x)))
for gcollapse, gstats tab, gegen). - Allow keeping both variable names and labels in
greshape spread/gather
- Implement
selectoverflow(missing|closest)
- Add totals row for
J > 1
in gstats
These are options/features/improvements I would like to add, but I don't have an ETA for them:
- Implement
gmerge
- Integration with ReadStat?
- Add support for binary
strL
variables. - Minimize memory use.
- Add memory(greedy|lean) to give user fine-grained control over internals.
- Create a Stata C hashing API with thin wrappers around core functions.
- This will be a C library that other users can import.
- Some functionality will be available from Stata via gtooos, api()
- Improve debugging info.
- Improve code comments when you write the API!
- Have some type of coding standard for the base (coding style)
Hi! I'm Mauricio Caceres; I made gtools
after some of my Stata jobs were taking literally days to run because of repeat
calls to egen
, collapse
, and similar on data with over 100M rows. Feedback
and comments are welcome! I hope you find this package as useful as I do.
Along those lines, here are some other Stata projects I like:
-
ftools
: The main inspiration for gtools. Not as fast, but it has a rich feature set; its mata API in particular is excellent. -
reghdfe
: The fastest way to run a regression with multiple fixed effects (as far as I know). -
stata_kernel
: A Stata kernel for Jupyter; extremely useful for interacting with Stata. -
stata-cowsay
: Productivity-boosting cowsay functionality in Stata.
Gtools is MIT-licensed.
./lib/spookyhash
and ./src/plugin/common/quicksort.c
belong to their respective
authors and are BSD-licensed. Also see gtools, licenses
.