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Re: st: pre and post event coding


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: pre and post event coding
Date   Thu, 12 Dec 2013 11:20:21 +0000

I don't understand what the difficulty is here. If your data are
yearly, 4 years before or after is 4 observations before or after.
That would be [_n-4] or [_n-4] within panels or an equivalent using
time series operators.

If you are mixing yearly data with event data on a different basis
(something happened on 11 Dec 2013, or whatever), you need to make
that clear.

A concrete example of your data would be more instructive than
extended verbal description.

Pedantically, but positively for your own papers, presentations,
theses: "a panel dataset" is good wording here; "a panel data" doesn't
sound at all right to my ears, whether logically or not.

Nick
njcoxstata@gmail.com


On 12 December 2013 04:06, Khieu, Hinh <hdkhieu@usi.edu> wrote:
> 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.

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