Event study help

[Schmichael smith]

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

* 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

[Schmichael smith]

bump

[Nick Cox]

This looks like an assignment to me. Our FAQ extras document explains our policy on that, and indeed also gives advice on bumping (executive summary: please don’t).

[Schmichael smith]

it is for my thesis coming up, so i guess it would be an assignment? however it will be turned into a masters dissertation

[Nick Cox]

If someone is going to grade this, it is an assignment in our terms. A data example that doesn't exemplify what you want done is, I guess, also not helping here..