@abdulla wrote:
You should know first what event study is. Without knowing anything properly, please don't ask logic behind anything. It is like a childish question for someone who has idea about event study.
Since Wikipedia only has an entry for "event window" on the page: https://en.wikipedia.org/wiki/Event_study and does not define the term it strongly implies that the user has to know what an "event" is and what the duration of an "event window" would be.
There is apparently no standard or fixed definition though it does seem to have some sort of time component. If I am incorrect with this statement please post somewhere I can find a standard definition.
I find at https://eventstudymetrics.com/index.php/9-steps-to-follow-when-performing-a-short-time-study/
Once you have chosen a model and gathered all necessary data for expected return estimation, you need to determine the estimation window and the event window. The two windows do not overlap, i.e., the trading days prior to the event day which are part of the event window are not part of the estimation window. The estimation window is the period of trading days (before the event date) that is used to estimate the expected return for each asset and each event (using the constant mean return model, the market model, or any other of the aforementioned models). The event window is the period of trading days over which you want to calculate abnormal returns. An event window of one day, abbreviated [0], only includes the event day itself. In many studies the maximum event window includes 41 trading days symmetrically surrounding the identified event day, abbreviated [-20,+20].
So if your -5 and 2 is supposed to mean 5 days before and 2 days after a given date, what is so hard about saying that?
But that still brings up -How do we tell from your sample data in a generic values of the data what dates are of interest? And if the interval is going to change how to determine the different interval. To write a program we need rules that use the data.
When you have a date that you want to compare an interval then you may want INTNX or INTCK functions. But you will need to tell us how to 1) determine which date is the base date, 2) how to determine the interval for any of those given base dates and 3) what the resulting data set is supposed to look like with the identified intervals.
Example of finding 5 days before and 2 days after a given date:
data example;
x='15JAN2019'd;
fivedaysprior = intnx('day',x,-5);
twodaysafter = intnx('day',x,2);
format x fivedaysprior twodaysafter date9.;
run;
