Rajesh,
Thanks for the tip. Although I do not use an event study set up I did find
you link useful. I use CAR as an alternative evaluation mechanism and will
compare the code on this page with my own. It looks efficient but since the
database is too large for a Windows 32-bit system I may not be able to use
it as written.
/Joachim
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Tharyan, Rajesh
Sent: Thursday, December 10, 2009 7:18 AM
To: [email protected]
Subject: RE: st: RE: How to adjust the content of a local macro?
Hi,
Are you doing this as a part of an event study setup ? If so check out the
stata program
http://dss.princeton.edu/usingdata/stata/analysis/eventstudy.html. In that
example they use the market model but you could easily replace it with the
CAPM or FF3F model.
Regards
rajesh
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