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Re: st: Event study
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Event study
Date
Fri, 12 Apr 2013 13:55:49 +0100
I doubt that "event study" is universal jargon. Most things could qualify.
That aside, your example is not clear.
There are at least two things you can calculate, (1) change since time
datum and (2) change from day to day
The first is (for example)
egen benchmark = total(abnormalreturn / (day == -1)), by(country
gen deltachange = abnormalreturn - benchmark
and the second is
bysort country (day) : gen change = abnormalreturn - abnormalreturn[_n-1]
The variable -deltachange- you give seems to be one thing for some
observations and another thing for other observations, so at least one
of us is confused.
Nick
[email protected]
On 12 April 2013 13:39, Künzel Sven <[email protected]> wrote:
> 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?
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