Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.

# Re: st: Event study

 From "Künzel Sven" To Subject Re: st: Event study Date Fri, 12 Apr 2013 15:08:35 +0200

```I admit that "event study" is maybe not the right term for my problem.

```
For dissolving our confusion I want to calculate the change from day to day, so that the second example is the right one.
```
Thanks...

On Fri, 12 Apr 2013 13:55:49 +0100
Nick Cox <njcoxstata@gmail.com> wrote:
```
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
njcoxstata@gmail.com

```
On 12 April 2013 13:39, Künzel Sven <s.kuenzel@tu-braunschweig.de> 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?
```
```
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/
```
```
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/
```