topic Re: Creating benchmark period dummies (around event) in SAS Programming

Creating benchmark period dummies (around event)

MarcBoh — Sat, 02 Sep 2017 12:46:53 GMT

Hello,

I want to do an event study and need some descriptives around the events I am testing with different window sizes.

Let's assume I have a data set with 10000 observations (stocks, dates, measures) and merge them with an announcement data set. Now, I want to get a dummy variable that is always 0 except for parameters given by me:

if date = announcement_date then;

window_dummy at t-60 to t-11 = 1 or window_dummy at t-5 to t+5 = 1

I hope I described it appropriately and there is a way because there is no lead function or similar.

Best M

Re: Creating benchmark period dummies (around event)

art297 — Sat, 02 Sep 2017 13:57:31 GMT

Yes, there is no lead function, but there are functions that allow you to do the same thing. Take a look at: https://www.google.ca/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0ahUKEwjYr5by04bWAhVF_4MKHSk2BTUQFggoMAA&url=http%3A%2F%2Fwww.sascommunity.org%2Fwiki%2FLook-Ahead_and_Look-Back&usg=AFQjCNH7EoUWwMbdl_eZt9DMqnfEaBcKcw

Art, CEO, AnalystFinder.com

Re: Creating benchmark period dummies (around event)

MarcBoh — Sat, 02 Sep 2017 14:28:50 GMT

thanks for the hint!