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st: pre and post event coding


From   "Khieu, Hinh" <hdkhieu@usi.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: pre and post event coding
Date   Thu, 12 Dec 2013 04:06:04 +0000

Dear Statalist members,

I have a panel data of firm years. The events are credit ratings downgrades and upgrades. I want to identify the cash holdings one year before downgrade (or upgrade) and one year after downgrades (or upgrades). One objective is to construct cash holdings after minus cash holdings before the event. Another objective is to calculate cash holdings volatility 4 years before and cash holdings volatility 4 years after an upgrade or downgrade.

I know how to do that in SAS, but do not know how to code it in Stata. I try the [_n-1] and [_n+1] for cash holdings, but it is not necessarily correct because the code does not wrap around an event. Here my downgrades column has 1's for downgrades and 0's otherwise. My upgrades column has 1's for upgrades and 0's otherwise.

I'd appreciate any amount of help.

Thanks,
Hinh

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