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Re: st: my code for event study

From   "Ingo Brooks" <>
Subject   Re: st: my code for event study
Date   Thu, 15 Mar 2007 09:03:38 +0100


Did you also try to use -statsby- , then merge the coefficient
estimates to your existing dataset and compute the predicted values by
yourself? I think this should be much faster and easier to implement
than the "in" solution.


On 3/15/07, Nian Huang <> wrote:
I want to thank everybody for their previous quick responses.

Here is my piece of code for event study. Basically, I get it from the
Stata sample program.

forvalues i=1(1)1314 {
        quietly reg ret mkt if id==`i' & est_window==1
        quietly predict p if id==`i'
        quietly replace pred_rtn= p if id==`i' & event_window==1
        quietly drop p

The above program took 30 minutes to run through. Is there any way to
improve it?

Appreciate your input!
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