Cameron,
Try this:
clear
use http://www-personal.umich.edu/~chooper/stata/returns
sort perm date
save "C:\Documents and Settings\Scott_2\Desktop\returns.dta", replace
use http://www-personal.umich.edu/~chooper/stata/event_dates
sort perm date
save "C:\Documents and Settings\Scott_2\Desktop\dates.dta", replace
use "C:\Documents and Settings\Scott_2\Desktop\returns.dta", clear
merge permno date using "C:\Documents and
Settings\Scott_2\Desktop\dates.dta"
gen type = 1 if _m == 3
replace type =1 if _m[_n + 1] == 3 | _m[_n + 2] == 3 |_m[_n - 1] == 3 |
_m[_n - 2] == 3
replace type =3 if _m[_n - 3] == 3 | _m[_n - 4] == 3 | _m[_n - 5] == 3 |
_m[_n -6] == 3 | _m[_n -7] == 3
replace type =2 if _m[_n + 3] == 3 | _m[_n + 4] == 3 | _m[_n + 5] == 3 |
_m[_n +6] == 3 | _m[_n +7] == 3
l in 39/57
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Cameron Hooper
> Sent: Friday, May 06, 2005 1:56 PM
> To: [email protected]
> Subject: st: [Stata 8] Merge question
>
> Dear list,
>
> I want to merge event dates with a series of daily stock returns and
> subsequently define various event windows. What seemed like a straight
> forward problem is actually proving surprisingly difficult (for me
> anyway).
>
> I have made up some illustrative data. Suppose I have a file containing
> daily returns for a couple of firms like this:
>
>
> . version
> version 8.2
> . use http://www-personal.umich.edu/~chooper/stata/returns
> . list in 1/10
>
> +-----------------------------------------+
> | permno ticker date ret |
> |-----------------------------------------|
> 1. | 10107 MSFT 03 Jan 00 -.001606 |
> 2. | 10107 MSFT 04 Jan 00 -.0337802 |
> 3. | 10107 MSFT 05 Jan 00 .0105438 |
> 4. | 10107 MSFT 06 Jan 00 -.0334981 |
> 5. | 10107 MSFT 07 Jan 00 .0130682 |
> |-----------------------------------------|
> 6. | 10107 MSFT 10 Jan 00 .0072911 |
> 7. | 10107 MSFT 11 Jan 00 -.0256125 |
> 8. | 10107 MSFT 12 Jan 00 -.0325714 |
> 9. | 10107 MSFT 13 Jan 00 .0189014 |
> 10. | 10107 MSFT 14 Jan 00 .0411594 |
> +-----------------------------------------+
>
> I also have a file of event dates:
>
> . use http://www-personal.umich.edu/~chooper/stata/event_dates
> . list
>
> +-----------------------------+
> | permno ticker date |
> |-----------------------------|
> 1. | 10107 MSFT 04 Jan 00 |
> 2. | 10107 MSFT 10 Mar 00 |
> 3. | 10107 MSFT 22 Jun 00 |
> 4. | 10107 MSFT 18 Sep 00 |
> 5. | 10107 MSFT 28 Dec 00 |
> |-----------------------------|
> 6. | 12490 IBM 12 Jan 00 |
> 7. | 12490 IBM 07 Apr 00 |
> 8. | 12490 IBM 25 Jul 00 |
> +-----------------------------+
>
> Merging is straightforward. However I also want to create a set of 3
> event windows for each event date: pre-event, event, and post-event.
> Define the event date as 0 then
>
> pre-event = days -7 to -3
> event = days -2 to +2
> post-event = days +3 to + 7
>
> ** These are trading dates not calendar dates (each observation is a
> trading date). **
>
> I thought this would be easy, but I just can't seem to make it happen.
> Please note that in practice I have a sample containing daily data for
> thousands of firms, many of which have over 10 years of data. I also
> have 4 event dates per firm-year. This means that the method shown at
>
> http://dss.princeton.edu/online_help/analysis/multiple_event_dates.htm
>
> which creates a duplicate set of observations for each event date /
> company combination is impractical. The resulting file is simply too
> large.
>
> Here is a mocked up file showing what I am aiming for. I have shown
> data around one event_date. The variable TYPE is defined as (0 =
> non-event, 1 = event, 2 = pre and 3 = post.
>
> . use http://www-personal.umich.edu/~chooper/stata/desired_result
> . list in 39/57
>
>
> +-------------------------------------------------------------------+
> | permno ticker date event_d~e ret type
> indx |
>
> |-------------------------------------------------------------------|
> 39. | 10107 MSFT 28 Feb 00 . .0027379 0
> . |
> 40. | 10107 MSFT 29 Feb 00 . -.0238908 0
> . |
> 41. | 10107 MSFT 01 Mar 00 . .0160839 2
> -7 |
> 42. | 10107 MSFT 02 Mar 00 . .0282175 2
> -6 |
> 43. | 10107 MSFT 03 Mar 00 . .0294511 2
> -5 |
>
> |-------------------------------------------------------------------|
> 44. | 10107 MSFT 06 Mar 00 . -.0572172 2
> -4 |
> 45. | 10107 MSFT 07 Mar 00 . .0248276 2
> -3 |
> 46. | 10107 MSFT 08 Mar 00 . .0289367 1
> -2 |
> 47. | 10107 MSFT 09 Mar 00 . .0464356 1
> -1 |
> 48. | 10107 MSFT 10 Mar 00 10 Mar 00 .01 1
> 0 |
>
> |-------------------------------------------------------------------|
> 49. | 10107 MSFT 13 Mar 00 . -.029703 1
> 1 |
> 50. | 10107 MSFT 14 Mar 00 . -.0293367 1
> 2 |
> 51. | 10107 MSFT 15 Mar 00 . .0026281 3
> 3 |
> 52. | 10107 MSFT 16 Mar 00 . 0 3
> 4 |
> 53. | 10107 MSFT 17 Mar 00 . .0419397 3
> 5 |
>
> |-------------------------------------------------------------------|
> 54. | 10107 MSFT 20 Mar 00 . -.0201258 3
> 6 |
> 55. | 10107 MSFT 21 Mar 00 . .055199 3
> 7 |
> 56. | 10107 MSFT 22 Mar 00 . .0048662 0
> . |
> 57. | 10107 MSFT 23 Mar 00 . .0835351 0
> . |
>
> +-------------------------------------------------------------------+
>
> Any suggestions greatly appreciated.
>
> Cameron
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
