Bookmark and Share

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


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Event study


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Event study
Date   Fri, 12 Apr 2013 14:14:52 +0100

It could very well be that "event study" is exactly the right term in
your field. My (small) point is that this is an interdisciplinary list
and so it's best to assume, as it were, moderate intelligence and
unlimited ignorance and that people are typically not in your field.

Aiming a question at precisely the people who know exactly what you
are talking about may seem good strategy, but it can also cut out
people who could answer; they just don't know your jargon.

As said, a small point at best.

Nick
njcoxstata@gmail.com


On 12 April 2013 14:08, Künzel Sven <s.kuenzel@tu-braunschweig.de> wrote:
> 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/

*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index