Re: st: Event-Study Cumulative Abnormal Return(CAR)

["Künzel Sven" <s.kuenzel@tu-braunschweig.de>]

Thanks for your help.

The syntax I tried used the forvalues command but your syntax seems to 
be much easier.
I have just one more question. By using the syntax

egen sum_for_each_day = total(abnormal_return), by(dif)

I have the sum for each day for every group_id (see the data below) 
but i would like to have it just once (see the older post). Is there 
an additional option?

countrynam spreads  group_id    datum      event_date    dif 
event_window  abnormal_return    sum_for_each_day
Portugal     0.30     1       21dec2010     23dec2010    -2      0 
         0.5
Portugal     0.33     1       22dec2010     23dec2010    -1      1 
         0.6                1.75=0.6+0.05+1.1
Portugal     0.32     1       23dec2010     23dec2010     0      1 
         0.5                1.80=0.5+0.10+1.2
Portugal     0.33     1       27dec2010     23dec2010     1      1 
         0.6                2.05=0.6+0.15+1.3
Portugal     0.35     1       28dec2010     23dec2010     2      0 
         0.4
Ireland      0.20     2       20oct2009     22oct2009    -2      0 
         0.1
Ireland      0.21     2       21oct2009     22oct2009    -1      1 
         0.05               1.75=0.6+0.05+1.1
Ireland      0.20     2       22oct2009     22oct2009     0      1 
         0.1                1.80=0.5+0.10+1.2
Ireland      0.19     2       23oct2009     22oct2009     1      1 
         0.15
Ireland      0.24     2       24oct2009     22oct2009     2      0 
         0.2
Italy        0.26     3       04oct2010     06oct2010    -2      0 
         1.2
Italy        0.29     3       05oct2010     06oct2010    -1      1 
         1.1                1.75=0.6+0.05+1.1
Italy        0.31     3       06oct2010     06oct2010     0      1 
         1.2                1.80=0.5+0.10+1.2
Italy        0.26     3       07oct2010     06oct2010     1      1 
         1.3                2.05=0.6+0.15+1.3
Italy        0.25     3       08oct2010     06oct2010     2      1 
         1.1

Sven


On Mon, 25 Feb 2013 21:38:11 +0000
 Nick Cox <njcoxstata@gmail.com> wrote:
> Your calculations seem to require
>
> egen sum_for_each_day = total(abnormal_return), by(dif)
>
> We can't comment on what you tried and don't show us.
>
> Nick
>
> On Mon, Feb 25, 2013 at 9:08 PM, Künzel Sven
> <s.kuenzel@tu-braunschweig.de> wrote:
>
> > I was wondering if you can help me. I am trying to analyse my 
> > datasample by
> > using an Event-Study. Now I would like to get a cumulative sum of 
> > the
> > abnormal return for each day around the event-date. At the End I 
> > would like
> > to have a variable where I can see the sum for each day around the 
> > event. My
> > data looks like this:
> >
> >
> >
> > new variable I need
> > countrynam spreads  group_id    datum      event_date    dif 
> > event_window
> > abnormal_return    sum_for_each_day
> >
> > Portugal     0.30     1       21dec2010     23dec2010    -2      0
> > 0.5
> > Portugal     0.33     1       22dec2010     23dec2010    -1      1
> > 0.6                1.75=0.6+0.05+1.1
> > Portugal     0.32     1       23dec2010     23dec2010     0      1
> > 0.5                1.80=0.5+0.10+1.2
> > Portugal     0.33     1       27dec2010     23dec2010     1      1
> > 0.6                2.05=0.6+0.15+1.3
> > Portugal     0.35     1       28dec2010     23dec2010     2      0
> > 0.4
> >
> > Ireland      0.20     2       20oct2009     22oct2009    -2      0
> > 0.1
> > Ireland      0.21     2       21oct2009     22oct2009    -1      1
> > 0.05
> > Ireland      0.20     2       22oct2009     22oct2009     0      1
> > 0.1
> > Ireland      0.19     2       23oct2009     22oct2009     1      1
> > 0.15
> > Ireland      0.24     2       24oct2009     22oct2009     2      0
> > 0.2
> >
> > Italy        0.26     3       04oct2010     06oct2010    -2      0
> > 1.2
> > Italy        0.29     3       05oct2010     06oct2010    -1      1
> > 1.1
> > Italy        0.31     3       06oct2010     06oct2010     0      1
> > 1.2
> > Italy        0.26     3       07oct2010     06oct2010     1      1
> > 1.3
> > Italy        0.25     3       08oct2010     06oct2010     2      1
> > 1.1
> >
> >
> > I tried different things but couldn´t find any fitting syntax. Can 
> > you help
> > me?
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