Please check the attachment I have just posted in my previous post. That contains the actual data. And I need to know the code for the following window (estimate the parameters in the period -250,-10). It is like before the event day(which is different for different stock) you have to select (-250, -10) days for every group (by permno) then you have to find regression. For me regreesion is not a problem. The problem is the event date for each group(permno) is different and the (-250, -10) period will be different for different stock . Now how will I code so that I can get my period in a work file. I have delete the other observations which are not in the (-250, -10) period from the event day. By the way I highlighted the event day. And my Permno are of 400 different stocks. I just gave you two stocks as an example.
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