If you get the message "No more room for observations" (as opposed to variables), you don't have enough memory to read in your entire Stata dataset. The command memory gives a report on memory usage. To increase memory, give the command:
set memory #mm
where # is a number and mm is megabytes.
You may be able to reduce your memory requirements by saving your data more efficiently. Stata's default variable type is 8 bytes. This is unnecessarily large for most social science data. Use stata's compress command to reduce your data to its most efficient format and then resave your file.
Note: The compress command does not create a compressed version of your file in the way that compression utilities such as gzip or pkzip do. Rather, the Stata compress command changes the data types to store your variables such that each variable is stored optimally. See the Stata Manual for more information on Stata variables types.
Further note: If you get the message "No more room for variables" (as opposed to observations), you have too many variables on the file for the default maximun allowed. To override the default use the maxvar command but first determine how many are on the file with the describe commmand on the unopened file (eg.describe using"c:/myfile.dta", short).
Intercooled Stata has an absolute limit of 2,047 (2**11 -1) . Stata SE has a limit of 32,767 (2**15 - 1). If you know the names of the variables, you can read in only the ones you need. Since Stata works almost entirely in memory, the fewer the variables (and observations) the faster it runs.