Hey fellow Statalists
I'm on a project currently and the 'last step' is to calculate the CAR's by event study. I have 300+ companies in my list, it'd be impossible to do this one by one. Every firm has 1 event date (takeover date). I have all the returns for the target firms for the past 10 years. As well as an index/market of the past 10 years.
I have browsed Google, and found https://dss.princeton.edu/online_hel...ventstudy.html as well as a paper with the 'estudy' command: https://www.researchgate.net/publica...estudy_command.
This seemed great and I wanted to follow either one of these guides. However, I am not sure how my data has to be inputted (in terms of rows and columns really).
To be more clear: the following picture is how I have my data in Excel at the moment:
For the event dates per acquirer, so I have a column for the Acquiror ID and one for the date of the event.
As for my other sheet:
Here the acquiror ID codes are in a ROW and every Trading day of the past 10 years is the first column, therefore the matching return per firm and per day is returned within the array.
How does my data need to be sorted in order to perform an event study using either the estudy command or the way that is described in the first document 'DSS-Stata'.
Do I need to transpose the data where the acquiror ID is a column and the date is a row?
Right now, every 'variable' is a firm, or do I need every 'variable' to be a date?
If you get what I'm saying
.
Very kind regards.
I'm on a project currently and the 'last step' is to calculate the CAR's by event study. I have 300+ companies in my list, it'd be impossible to do this one by one. Every firm has 1 event date (takeover date). I have all the returns for the target firms for the past 10 years. As well as an index/market of the past 10 years.
I have browsed Google, and found https://dss.princeton.edu/online_hel...ventstudy.html as well as a paper with the 'estudy' command: https://www.researchgate.net/publica...estudy_command.
This seemed great and I wanted to follow either one of these guides. However, I am not sure how my data has to be inputted (in terms of rows and columns really).
To be more clear: the following picture is how I have my data in Excel at the moment:
For the event dates per acquirer, so I have a column for the Acquiror ID and one for the date of the event.
As for my other sheet:
Here the acquiror ID codes are in a ROW and every Trading day of the past 10 years is the first column, therefore the matching return per firm and per day is returned within the array.
How does my data need to be sorted in order to perform an event study using either the estudy command or the way that is described in the first document 'DSS-Stata'.
Do I need to transpose the data where the acquiror ID is a column and the date is a row?
Right now, every 'variable' is a firm, or do I need every 'variable' to be a date?
If you get what I'm saying
.Very kind regards.
Comment