Dear all,
I have a dataset containing 157 firms identified by a companyid variable, besides i have the stockprices of each individual company for a timeperiod of 156 weeks. I calculated the BHAR and now want to check whether the individual company bhar (bharpe1115) its mean is significantly different from the bhar of the benchmarks( bharsp600,). By performing t-tests i exactly know how to test if they differ by performing the following code : by week: ttest bharpe1115== bharsp600 . With the results as attachment; one can see that for every week whether the bhars differ.
However literature in this topic requires a non parametric test. Literature uses the wilcoxon mann whitney test. I however, dont know if it is possible to execute this on two different variables (so not by group!), maybe there is some user written program i should know about?
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input int date double PricePE int(companyid week) double(SP600 SP500VALUE SP500EQUALWEIGHTED) float(bharpe1115 bharsp600 bharsp500value bharsp500equal)
19899              25.75 1  0            677.15            895.69            3106.84         1         1         1         1
19906              25.21 1  1 686.9300000000001            898.64            3128.73  .9790291 1.0144429 1.0032935 1.0070457
19913              25.75 1  2            676.23            898.91            3122.59         1  .9986414  1.003595 1.0050695
19920 26.560000000000002 1  3            663.36             904.5            3122.26 1.0314564  .9796352  1.009836 1.0049633
19927              24.04 1  4               666            904.51            3123.71  .9335923  .9835339 1.0098472   1.00543
19934              24.25 1  5            659.83            896.73            3099.79  .9417475  .9744222 1.0011611  .9977308
19941              25.29 1  6            649.48            873.84            3028.11   .982136  .9591376  .9756054  .9746591
19948              25.92 1  7 657.1800000000001            884.59             3069.9 1.0066019  .9705088  .9876073  .9881101
19955              27.87 1  8             665.6 898.9200000000001 3137.7200000000003 1.0823301  .9829432 1.0036062 1.0099393
19962              28.19 1  9            671.84            906.45            3154.41 1.0947573  .9921583 1.0120131 1.0153114
19969              27.98 1 10            672.48            908.34            3162.56  1.086602  .9931034 1.0141232 1.0179347
19976 26.080000000000002 1 11            667.03            902.52            3145.23 1.0128155   .985055 1.0076255 1.0123566
19983 27.080000000000002 1 12            661.91            907.95 3144.9900000000002 1.0516505  .9774939 1.0136877 1.0122794
19990              25.66 1 13 648.9300000000001            903.87 3121.7000000000003  .9965048  .9583253 1.0091326  1.004783
19997              25.01 1 14            626.61            880.46            3037.87  .9712622  .9253637  .9829963  .9778006
20004 26.150000000000002 1 15            632.33            889.84            3066.86 1.0155339  .9338108  .9934687  .9871316
20011               25.2 1 16            620.98            843.94            2912.69  .9786408  .9170494  .9422233  .9375089
20018              26.72 1 17            634.63            870.51             3022.8 1.0376699  .9372074  .9718876    .97295
20025 32.230000000000004 1 18            663.58            891.62            3109.05 1.2516505  .9799601   .995456 1.0007113
20032              34.45 1 19            677.22            910.44            3178.16  1.337864 1.0001034 1.0164678 1.0229558
20039              33.46 1 20 686.0600000000001 915.4200000000001            3203.15 1.2994175 1.0131581 1.0220277 1.0309993
20046              30.72 1 21            669.21            921.37 3215.9300000000003 1.1930097  .9882744 1.0286707 1.0351129
20053              31.16 1 22            686.48            929.37            3256.16  1.210097 1.0137783 1.0376023 1.0480617
20060              32.01 1 23            681.41            931.83             3258.6  1.243107  1.006291 1.0403488 1.0488471
20067              33.71 1 24            670.48            908.39            3180.77 1.3091263  .9901499  1.014179 1.0237958
20074              37.44 1 25 675.5600000000001 904.1700000000001            3176.04 1.4539806  .9976519 1.0094676 1.0222734
20081              36.79 1 26            695.08            938.13            3284.27  1.428738 1.0264786 1.0473825 1.0571095
20088               37.4 1 27            695.08            927.97            3251.04  1.452427 1.0264786 1.0360392 1.0464137
20095              36.69 1 28            675.27            908.41 3188.2000000000003 1.4248544  .9972237 1.0142013 1.0261874
20102              36.71 1 29             677.5            896.94            3161.06  1.425631 1.0005169 1.0013956 1.0174518
end
format %tdnn/dd/CCYY date