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st: Event study


From   "Künzel Sven" <s.kuenzel@tu-braunschweig.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Event study
Date   Fri, 12 Apr 2013 14:39:17 +0200

Hello everyone,

I am doing an Event-Study, which caused some troubles. In order to detect abnormal reactions between event day 0 and post-event day + 1 with the help of the event study, I want to compute the change between the days t and t-1. Just below you see a data sample.

country  abnormalreturn day   DeltaChange
1              10        -2
1              11        -1       1
1              12        0        1
1              15        1        3
1              16        2        4
1              14        3        -2
1              13        4        -1
1              12        5        -1
2              35        -2
2              37        -1       2
2              39        0        2
2              32        1        -5
2              35        2        3
2              46        3        11
2              34        4        -12
2              37        5        +3

Is this possible? Which code would be the right one?

Thanks for your help....
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