Hello all,
I am in the middle of doing an event study, and need help setting up the estimation/event window.
Yes i have looked at the princeton page, however my event study has multiple events per firm over the entire period.
currently i am looking for a way to count [+24,-24] days around each event. i have labeled each event as "day" 0. but am stuck on how to generate this counter
although this doesnt show it, where there would be an event (dividends), the dvd would be 0. basically would like to generate a new variable (or replace dvd) with a counter that goes from 0-24 and +24
Thank you
I am in the middle of doing an event study, and need help setting up the estimation/event window.
Yes i have looked at the princeton page, however my event study has multiple events per firm over the entire period.
currently i am looking for a way to count [+24,-24] days around each event. i have labeled each event as "day" 0. but am stuck on how to generate this counter
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long company_id float(Date tradeday dvd) 10104 15979 1 . 10104 15980 2 . 10104 15981 3 . 10104 15984 4 . 10104 15985 5 . 10104 15986 6 . 10104 15987 7 . 10104 15988 8 . 10104 15991 9 . 10104 15992 10 . 10104 15993 11 . 10104 15994 12 . 10104 15995 13 . 10104 15998 14 . 10104 15999 15 . 10104 16000 16 . 10104 16001 17 . 10104 16002 18 . 10104 16005 19 . 10104 16006 20 . 10104 16007 21 . 10104 16008 22 . 10104 16009 23 . 10104 16012 24 . 10104 16013 25 . 10104 16014 26 . 10104 16015 27 . 10104 16016 28 . 10104 16019 29 . 10104 16020 30 . 10104 16021 31 . 10104 16022 32 . 10104 16023 33 . 10104 16026 34 . 10104 16027 35 . 10104 16028 36 . 10104 16029 37 . 10104 16030 38 . 10104 16033 39 . 10104 16034 40 . 10104 16035 41 . 10104 16037 42 . 10104 16040 43 . 10104 16041 44 . 10104 16042 45 . 10104 16043 46 . 10104 16044 47 . 10104 16047 48 . 10104 16048 49 . 10104 16049 50 . 10104 16050 51 . 10104 16051 52 . 10104 16054 53 . 10104 16055 54 . 10104 16056 55 . 10104 16057 56 . 10104 16058 57 . 10104 16061 58 . 10104 16062 59 . 10104 16063 60 . 10104 16065 61 . 10104 16068 62 . 10104 16069 63 . 10104 16070 64 . 10104 16072 65 . 10104 16075 66 . 10104 16076 67 . 10104 16077 68 . 10104 16078 69 . 10104 16079 70 . 10104 16082 71 . 10104 16083 72 . 10104 16084 73 . 10104 16085 74 . 10104 16086 75 . 10104 16090 76 . 10104 16091 77 . 10104 16092 78 . 10104 16093 79 . 10104 16096 80 . 10104 16097 81 . 10104 16098 82 . 10104 16099 83 . 10104 16100 84 . 10104 16103 85 . 10104 16104 86 . 10104 16105 87 . 10104 16106 88 . 10104 16107 89 . 10104 16110 90 . 10104 16111 91 . 10104 16112 92 . 10104 16113 93 . 10104 16114 94 . 10104 16118 95 . 10104 16119 96 . 10104 16120 97 . 10104 16121 98 . 10104 16124 99 . 10104 16125 100 . end format %td Date
although this doesnt show it, where there would be an event (dividends), the dvd would be 0. basically would like to generate a new variable (or replace dvd) with a counter that goes from 0-24 and +24
Thank you
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