Event Study Window daily data

RDellaVilla — Tue, 13 Apr 2021 09:51:55 GMT

Hello,

I am carrying out an event study application. At the moment, I have some troubles in setting the Event Window. Differently from other questions asked in the community, my events are endogenous. I am using a dummy variable named jumps_pa to detect such events. I should require to set an event window going from t-30 to t+30, where t is the event date. For each event, I need to set such an event window, keeping the data in the columns exc_retadj retidio below for the preceding and following dates.

my data are daily data, sorted by permno, and arise after several steps from crsp datbase. in particular, they look like this

permno date exc_retadj retidio jumps_pa

10000 1/01/x 1 if jump, 0 if no jump.

.... .... .....

Could anybody help create a table to sort data according to my needs?

Thanks

Riccardo

Re: Event Study Window daily data

sbxkoenk — Tue, 13 Apr 2021 10:14:21 GMT

Hello,

I'm really not sure what you're after. Your question is not very clear to me. I'm also wondering why you put in in the "statistical procedures" board.

Maybe you can clarify your question by using the below code:

data have;
input permno date jumps_pa;
informat date ddmmyy10.;
format date exc_retadj retidio ddmmyy10.;
exc_retadj = INTNX('DAY',date,-30,'SAME');
retidio    = INTNX('DAY',date,+30,'SAME');
cards;
10000 21/01/2021 1
;
run;
/* end of program */

Cheers,

Koen

topic Event Study Window daily data in Statistical Procedures

Event Study Window daily data

Re: Event Study Window daily data