Hi
Im running a regression for a event study.
My data is essentially consists of daily returns for one currency, and daily returns for a currency index for 21 days - 10 days before and 10 days after the event.

i then generated 21 dummy variables, one for each day, and its 1 for that observation, and 0 otherwise.

essentially, im regression the currency returns upon the index returns and all the dummy variables. the coefficient of each dummy variable gives me the abnormal return for that day.

However, when i run the regression, stata drops the index returns and the 21st dummy variable. Even if i shorten the event window i get the same response.

Any ideas whats going wrong here??