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Re: st: Event study
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Event study
Date
Fri, 12 Apr 2013 14:14:52 +0100
It could very well be that "event study" is exactly the right term in
your field. My (small) point is that this is an interdisciplinary list
and so it's best to assume, as it were, moderate intelligence and
unlimited ignorance and that people are typically not in your field.
Aiming a question at precisely the people who know exactly what you
are talking about may seem good strategy, but it can also cut out
people who could answer; they just don't know your jargon.
As said, a small point at best.
Nick
[email protected]
On 12 April 2013 14:08, Künzel Sven <[email protected]> wrote:
> I admit that "event study" is maybe not the right term for my problem.
>
> For dissolving our confusion I want to calculate the change from day to day,
> so that the second example is the right one.
>
> Thanks...
>
>
> On Fri, 12 Apr 2013 13:55:49 +0100
> Nick Cox <[email protected]> wrote:
>>
>> I doubt that "event study" is universal jargon. Most things could qualify.
>>
>> That aside, your example is not clear.
>>
>> There are at least two things you can calculate, (1) change since time
>> datum and (2) change from day to day
>>
>> The first is (for example)
>>
>> egen benchmark = total(abnormalreturn / (day == -1)), by(country
>> gen deltachange = abnormalreturn - benchmark
>>
>> and the second is
>>
>> bysort country (day) : gen change = abnormalreturn - abnormalreturn[_n-1]
>>
>> The variable -deltachange- you give seems to be one thing for some
>> observations and another thing for other observations, so at least one
>> of us is confused.
>>
>> Nick
>> [email protected]
>>
>>
>> On 12 April 2013 13:39, Künzel Sven <[email protected]> wrote:
>>
>>> I am doing an Event-Study, which caused some troubles. In order to detect
>>> abnormal reactions between event day 0 and post-event day + 1 with the
>>> help
>>> of the event study, I want to compute the change between the days t and
>>> t-1.
>>> Just below you see a data sample.
>>>
>>> country abnormalreturn day DeltaChange
>>> 1 10 -2
>>> 1 11 -1 1
>>> 1 12 0 1
>>> 1 15 1 3
>>> 1 16 2 4
>>> 1 14 3 -2
>>> 1 13 4 -1
>>> 1 12 5 -1
>>> 2 35 -2
>>> 2 37 -1 2
>>> 2 39 0 2
>>> 2 32 1 -5
>>> 2 35 2 3
>>> 2 46 3 11
>>> 2 34 4 -12
>>> 2 37 5 +3
>>>
>>> Is this possible? Which code would be the right one?
>>
>>
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>
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