Let's say we want 2ĭays before and after the event date (a total of 5 days in the event Need to make sure that we have the minimum number of observations beforeĪnd after the event date, as well as the minimum number of observationsīefore the event window for the estimation window. That counts the number of days between each individual observation and the event day. Finally, we simply take the difference between the two, creating a variable, dif, We create a variable with theĮvent date's day number on all of the observations within thatĬompany_id. We determine which observation occurs on the event date.
Variable that counts the number of days within each company_id. For trading days, we first need to create a This can be either calendar days or trading days.īy company_id: gen target=datenum if date=event_dateĪs you can see, calculating the number of trading days is a little To do this, you will need to createĪ variable, dif, that will count the number of days from the observation to theĮvent date. You can continue, you must make sure that you will be conducting yourĪnalyses on the correct observations. It's also possible that you do not have enough for some.
It's likely that you have more observations for each company than you Cleaning the data and Calculating the Event and Estimation Windows Your task will be much easier if you enter the commands in a do file, which is a text file containing a list of Stata commands. If you need assistance with Stata commands, you can find out more about it here. We also assume that you have a basic familiarity with Stata. If you need to prepare your data or want to try out the commands with our sample data, go to data preparation page. We assume that you already have data with a date variable, which we call "date", and a company identifier, which we have called "company_id". This document is designed to help you conduct event studies using Stata. Calculating Abnormal and Cumulative Abnormal Returns.
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