Event Study_ Window to compute abnormal returns

[RDellaVilla]

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 

[sbxkoenk · Accepted solution]

Hello @RDellaVilla ,

This is exactly the same question as in the "statistical procedures" board if I am right.

Over there you have accepted my solution, so I paste it once again.

I do not have the 'power' to merge both questions into one.

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