Re: st: Event study

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

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?
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