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Re: st: Event-Study Cumulative Abnormal Return(CAR)
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: Event-Study Cumulative Abnormal Return(CAR)
Date
Tue, 26 Feb 2013 10:37:12 +0000
You could use -egen, tag()- to identify just one observation for each
distinct value
egen tag = tag(dif)
gen sum_once = sum_for_each_day if tag
On Tue, Feb 26, 2013 at 8:34 AM, Künzel Sven
<[email protected]> wrote:
> Thanks for your help.
>
> The syntax I tried used the forvalues command but your syntax seems to be
> much easier.
>
> I have just one more question. By using the syntax
>
>
> egen sum_for_each_day = total(abnormal_return), by(dif)
>
> I have the sum for each day for every group_id (see the data below) but i
> would like to have it just once (see the older post). Is there an additional
> option?
>
>
>
> countrynam spreads group_id datum event_date dif event_window
> abnormal_return sum_for_each_day
>
> Portugal 0.30 1 21dec2010 23dec2010 -2 0
> 0.5
> Portugal 0.33 1 22dec2010 23dec2010 -1 1
> 0.6 1.75=0.6+0.05+1.1
> Portugal 0.32 1 23dec2010 23dec2010 0 1
> 0.5 1.80=0.5+0.10+1.2
> Portugal 0.33 1 27dec2010 23dec2010 1 1
> 0.6 2.05=0.6+0.15+1.3
> Portugal 0.35 1 28dec2010 23dec2010 2 0
> 0.4
>
> Ireland 0.20 2 20oct2009 22oct2009 -2 0
> 0.1
> Ireland 0.21 2 21oct2009 22oct2009 -1 1
> 0.05 1.75=0.6+0.05+1.1
> Ireland 0.20 2 22oct2009 22oct2009 0 1
> 0.1 1.80=0.5+0.10+1.2
>
> Ireland 0.19 2 23oct2009 22oct2009 1 1
> 0.15
> Ireland 0.24 2 24oct2009 22oct2009 2 0
> 0.2
>
> Italy 0.26 3 04oct2010 06oct2010 -2 0
> 1.2
> Italy 0.29 3 05oct2010 06oct2010 -1 1
> 1.1 1.75=0.6+0.05+1.1
> Italy 0.31 3 06oct2010 06oct2010 0 1
> 1.2 1.80=0.5+0.10+1.2
> Italy 0.26 3 07oct2010 06oct2010 1 1
> 1.3 2.05=0.6+0.15+1.3
>
> Italy 0.25 3 08oct2010 06oct2010 2 1
> 1.1
>
>
> Sven
>
>
>
> On Mon, 25 Feb 2013 21:38:11 +0000
> Nick Cox <[email protected]> wrote:
>>
>> Your calculations seem to require
>>
>> egen sum_for_each_day = total(abnormal_return), by(dif)
>>
>> We can't comment on what you tried and don't show us.
>>
>> Nick
>>
>> On Mon, Feb 25, 2013 at 9:08 PM, Künzel Sven
>> <[email protected]> wrote:
>>
>>> I was wondering if you can help me. I am trying to analyse my datasample
>>> by
>>> using an Event-Study. Now I would like to get a cumulative sum of the
>>> abnormal return for each day around the event-date. At the End I would
>>> like
>>> to have a variable where I can see the sum for each day around the event.
>>> My
>>> data looks like this:
>>>
>>>
>>>
>>> new variable I need
>>> countrynam spreads group_id datum event_date dif event_window
>>> abnormal_return sum_for_each_day
>>>
>>> Portugal 0.30 1 21dec2010 23dec2010 -2 0
>>> 0.5
>>> Portugal 0.33 1 22dec2010 23dec2010 -1 1
>>> 0.6 1.75=0.6+0.05+1.1
>>> Portugal 0.32 1 23dec2010 23dec2010 0 1
>>> 0.5 1.80=0.5+0.10+1.2
>>> Portugal 0.33 1 27dec2010 23dec2010 1 1
>>> 0.6 2.05=0.6+0.15+1.3
>>> Portugal 0.35 1 28dec2010 23dec2010 2 0
>>> 0.4
>>>
>>> Ireland 0.20 2 20oct2009 22oct2009 -2 0
>>> 0.1
>>> Ireland 0.21 2 21oct2009 22oct2009 -1 1
>>> 0.05
>>> Ireland 0.20 2 22oct2009 22oct2009 0 1
>>> 0.1
>>> Ireland 0.19 2 23oct2009 22oct2009 1 1
>>> 0.15
>>> Ireland 0.24 2 24oct2009 22oct2009 2 0
>>> 0.2
>>>
>>> Italy 0.26 3 04oct2010 06oct2010 -2 0
>>> 1.2
>>> Italy 0.29 3 05oct2010 06oct2010 -1 1
>>> 1.1
>>> Italy 0.31 3 06oct2010 06oct2010 0 1
>>> 1.2
>>> Italy 0.26 3 07oct2010 06oct2010 1 1
>>> 1.3
>>> Italy 0.25 3 08oct2010 06oct2010 2 1
>>> 1.1
>>>
>>>
>>> I tried different things but couldn´t find any fitting syntax. Can you
>>> help
>>> me?
>>
>>
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>
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