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
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=0ahUKEwjYr5by04bWA...
Art, CEO, AnalystFinder.com
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=0ahUKEwjYr5by04bWA...
Art, CEO, AnalystFinder.com
thanks for the hint!
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