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st: Re: Suggestions On Event Study Implementation Using Sureg


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Suggestions On Event Study Implementation Using Sureg
Date   Tue, 4 Nov 2008 07:37:04 -0500

< >
If you examine the reshaped data created by this logic, I think you will find that only the last observation (with tradedatenum == 1382) has a 1 in eventindicator. It is thus a 'singleton dummy'. Putting in a dummy that is 1 for only 1 observation in a timeseries in plain old OLS is equivalent to dropping that observation from the regression, as you can then 'explain' y[1382] perfectly -- it has its own intercept term. I don't think you want to do this.

This is not the standard methodology for an event study (in particular, because the use of -sureg- prevents you from examining any number of firms). Why wouldn't you rather want to estimate over the pre-event period and forecast returns over the event period, and look for abnormal returns?


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Nov 4, 2008, at 02:33 ,Thomas wrote:


scalar EventBegin = 1381
scalar EventEnd = 1382
scalar ObservationPeriod = 250

keep if TradeDateNum >= EventBegin - ObservationPeriod
keep if TradeDateNum <= EventEnd

gen EventIndicator = 0
replace EventIndicator = 1 if TradeDateNum >= EventBegin

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