stata没有这个功能。It's not necessary, every time, you can only work with one data, and stata holds working data in memory, so may need lot of memory with big data, SAS is better and efficient in handling very large data, especial with the use of sql. But stata is cheaper and update quickly with more modern or newest methods. Personally, I prefer to use Stata except when I have to use SAS.
最好把下面链接的那篇文章仔细看看,
10、ucla对stata、R、sas和spss三个软件的技术报告
Strategically using General Purpose Statistics Packages: A Look at Stata, SAS and SPSS https://bbs.pinggu.org/thread-349743-1-1.html