Dear Statalist,

I am using Stata 12 and you can find an example of my dataset at the end of the message (using dataex)


I am trying to run an event study following Princeton tool hereafter (https://dss.princeton.edu/online_hel...ventstudy.html.)


I am following the diferent steps :

1. I create a variable dif that count the number of days from the observation to the event date using the commands :

sort company date


by company: gen datenum=_n


by company: gen target=datenum if date==event_date


egen td=min(target), by(company)


gen dif=datenum-td


2. Then I check if I have the minimum number of observations before and after the event date, as well as the minimum number of observations before the event window for the estimation window :

by company: gen event_window=1 if dif>=-1 & dif<=1

egen count_event_obs=count(event_window), by(company)

by company: gen estimation_window=1 if dif<-10 & dif>=-80

egen count_est_obs=count(estimation_window), by(company)

replace event_window=0 if event_window==.


replace estimation_window=0 if estimation_window==.
tab company if count_event_obs<3

drop if count_event_obs < 3




However, at that stage I have more than 20 observations that are deleted (on a sample of 180), not because of a lack of observations around the event_date but because the event_date happens during the week end so the variable target is not calculated, the variable event_window keep the value of 0.


This happens for the company 4 for example.

I would very grateful if someone could help me to deal with this issue and keep the deleted observations.




Best regards,

Najiba


PS : I tried to use the datatex command with the option count since I have more than 66000 observations however this is too big to be displayed at the same time on the stata screen and copies.
I didn't find a solution for that.


Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input int company float date str54 name str12 isin int day double mv str33 nom int(year event_date)
1 17296 "SAFRAN - MARKET VALUE" "FR0000073272"   1 7794.27 "SAFRAN" 2008 17546
1 17297 "SAFRAN - MARKET VALUE" "FR0000073272"   2 7756.74 "SAFRAN" 2008 17546
1 17300 "SAFRAN - MARKET VALUE" "FR0000073272"   3 7727.55 "SAFRAN" 2008 17546
1 17301 "SAFRAN - MARKET VALUE" "FR0000073272"   4 7610.79 "SAFRAN" 2008 17546
1 17302 "SAFRAN - MARKET VALUE" "FR0000073272"   5 7719.21 "SAFRAN" 2008 17546
1 17303 "SAFRAN - MARKET VALUE" "FR0000073272"   6 7756.74 "SAFRAN" 2008 17546
1 17304 "SAFRAN - MARKET VALUE" "FR0000073272"   7 7840.14 "SAFRAN" 2008 17546
1 17307 "SAFRAN - MARKET VALUE" "FR0000073272"   8 7835.98 "SAFRAN" 2008 17546
1 17308 "SAFRAN - MARKET VALUE" "FR0000073272"   9    8057 "SAFRAN" 2008 17546
1 17309 "SAFRAN - MARKET VALUE" "FR0000073272"  10 7994.45 "SAFRAN" 2008 17546
1 17310 "SAFRAN - MARKET VALUE" "FR0000073272"  11 7977.77 "SAFRAN" 2008 17546
1 17311 "SAFRAN - MARKET VALUE" "FR0000073272"  12 8077.86 "SAFRAN" 2008 17546
1 17314 "SAFRAN - MARKET VALUE" "FR0000073272"  13 8165.43 "SAFRAN" 2008 17546
1 17315 "SAFRAN - MARKET VALUE" "FR0000073272"  14 8090.37 "SAFRAN" 2008 17546
1 17316 "SAFRAN - MARKET VALUE" "FR0000073272"  15 7948.58 "SAFRAN" 2008 17546
1 17317 "SAFRAN - MARKET VALUE" "FR0000073272"  16 7977.77 "SAFRAN" 2008 17546
1 17318 "SAFRAN - MARKET VALUE" "FR0000073272"  17 8040.32 "SAFRAN" 2008 17546
1 17321 "SAFRAN - MARKET VALUE" "FR0000073272"  18 8119.55 "SAFRAN" 2008 17546
1 17322 "SAFRAN - MARKET VALUE" "FR0000073272"  19 8261.35 "SAFRAN" 2008 17546
1 17323 "SAFRAN - MARKET VALUE" "FR0000073272"  20 7952.75 "SAFRAN" 2008 17546
1 17324 "SAFRAN - MARKET VALUE" "FR0000073272"  21 7815.13 "SAFRAN" 2008 17546
1 17325 "SAFRAN - MARKET VALUE" "FR0000073272"  22 7773.43 "SAFRAN" 2008 17546
1 17328 "SAFRAN - MARKET VALUE" "FR0000073272"  23 7810.96 "SAFRAN" 2008 17546
1 17329 "SAFRAN - MARKET VALUE" "FR0000073272"  24 7727.55 "SAFRAN" 2008 17546
1 17330 "SAFRAN - MARKET VALUE" "FR0000073272"  25 7777.59 "SAFRAN" 2008 17546
1 17331 "SAFRAN - MARKET VALUE" "FR0000073272"  26 7969.43 "SAFRAN" 2008 17546
1 17332 "SAFRAN - MARKET VALUE" "FR0000073272"  27 8123.73 "SAFRAN" 2008 17546
1 17335 "SAFRAN - MARKET VALUE" "FR0000073272"  28 8132.07 "SAFRAN" 2008 17546
1 17336 "SAFRAN - MARKET VALUE" "FR0000073272"  29 8023.64 "SAFRAN" 2008 17546
1 17337 "SAFRAN - MARKET VALUE" "FR0000073272"  30  8015.3 "SAFRAN" 2008 17546
1 17338 "SAFRAN - MARKET VALUE" "FR0000073272"  31 7911.04 "SAFRAN" 2008 17546
1 17339 "SAFRAN - MARKET VALUE" "FR0000073272"  32 7881.85 "SAFRAN" 2008 17546
1 17342 "SAFRAN - MARKET VALUE" "FR0000073272"  33 7890.19 "SAFRAN" 2008 17546
1 17343 "SAFRAN - MARKET VALUE" "FR0000073272"  34 7802.61 "SAFRAN" 2008 17546
1 17344 "SAFRAN - MARKET VALUE" "FR0000073272"  35 7877.68 "SAFRAN" 2008 17546
1 17345 "SAFRAN - MARKET VALUE" "FR0000073272"  36 7956.91 "SAFRAN" 2008 17546
1 17346 "SAFRAN - MARKET VALUE" "FR0000073272"  37 7919.38 "SAFRAN" 2008 17546
1 17349 "SAFRAN - MARKET VALUE" "FR0000073272"  38 7785.94 "SAFRAN" 2008 17546
1 17350 "SAFRAN - MARKET VALUE" "FR0000073272"  39 7723.38 "SAFRAN" 2008 17546
1 17351 "SAFRAN - MARKET VALUE" "FR0000073272"  40 7631.63 "SAFRAN" 2008 17546
1 17352 "SAFRAN - MARKET VALUE" "FR0000073272"  41 7581.59 "SAFRAN" 2008 17546
1 17353 "SAFRAN - MARKET VALUE" "FR0000073272"  42  7635.8 "SAFRAN" 2008 17546
1 17356 "SAFRAN - MARKET VALUE" "FR0000073272"  43 7644.14 "SAFRAN" 2008 17546
1 17357 "SAFRAN - MARKET VALUE" "FR0000073272"  44 7577.42 "SAFRAN" 2008 17546
1 17358 "SAFRAN - MARKET VALUE" "FR0000073272"  45 7631.63 "SAFRAN" 2008 17546
1 17359 "SAFRAN - MARKET VALUE" "FR0000073272"  46 7785.94 "SAFRAN" 2008 17546
1 17360 "SAFRAN - MARKET VALUE" "FR0000073272"  47 7798.45 "SAFRAN" 2008 17546
1 17363 "SAFRAN - MARKET VALUE" "FR0000073272"  48 7785.94 "SAFRAN" 2008 17546
1 17364 "SAFRAN - MARKET VALUE" "FR0000073272"  49  7819.3 "SAFRAN" 2008 17546
1 17365 "SAFRAN - MARKET VALUE" "FR0000073272"  50 7756.74 "SAFRAN" 2008 17546
1 17366 "SAFRAN - MARKET VALUE" "FR0000073272"  51 7881.85 "SAFRAN" 2008 17546
1 17367 "SAFRAN - MARKET VALUE" "FR0000073272"  52 7869.34 "SAFRAN" 2008 17546
1 17370 "SAFRAN - MARKET VALUE" "FR0000073272"  53 7865.16 "SAFRAN" 2008 17546
1 17371 "SAFRAN - MARKET VALUE" "FR0000073272"  54    7861 "SAFRAN" 2008 17546
1 17372 "SAFRAN - MARKET VALUE" "FR0000073272"  55 7815.13 "SAFRAN" 2008 17546
1 17373 "SAFRAN - MARKET VALUE" "FR0000073272"  56 7589.93 "SAFRAN" 2008 17546
1 17374 "SAFRAN - MARKET VALUE" "FR0000073272"  57 7760.91 "SAFRAN" 2008 17546
1 17377 "SAFRAN - MARKET VALUE" "FR0000073272"  58 7702.52 "SAFRAN" 2008 17546
1 17378 "SAFRAN - MARKET VALUE" "FR0000073272"  59 7690.02 "SAFRAN" 2008 17546
1 17379 "SAFRAN - MARKET VALUE" "FR0000073272"  60 7631.63 "SAFRAN" 2008 17546
1 17380 "SAFRAN - MARKET VALUE" "FR0000073272"  61 7756.74 "SAFRAN" 2008 17546
1 17381 "SAFRAN - MARKET VALUE" "FR0000073272"  62 7723.38 "SAFRAN" 2008 17546
1 17384 "SAFRAN - MARKET VALUE" "FR0000073272"  63 7494.01 "SAFRAN" 2008 17546
1 17385 "SAFRAN - MARKET VALUE" "FR0000073272"  64 7690.02 "SAFRAN" 2008 17546
1 17386 "SAFRAN - MARKET VALUE" "FR0000073272"  65 7694.19 "SAFRAN" 2008 17546
1 17387 "SAFRAN - MARKET VALUE" "FR0000073272"  66 7544.06 "SAFRAN" 2008 17546
1 17388 "SAFRAN - MARKET VALUE" "FR0000073272"  67 7264.65 "SAFRAN" 2008 17546
1 17391 "SAFRAN - MARKET VALUE" "FR0000073272"  68 7477.33 "SAFRAN" 2008 17546
1 17392 "SAFRAN - MARKET VALUE" "FR0000073272"  69 7352.22 "SAFRAN" 2008 17546
1 17393 "SAFRAN - MARKET VALUE" "FR0000073272"  70 7298.01 "SAFRAN" 2008 17546
1 17394 "SAFRAN - MARKET VALUE" "FR0000073272"  71 6968.55 "SAFRAN" 2008 17546
1 17395 "SAFRAN - MARKET VALUE" "FR0000073272"  72  7131.2 "SAFRAN" 2008 17546
1 17398 "SAFRAN - MARKET VALUE" "FR0000073272"  73 7231.29 "SAFRAN" 2008 17546
1 17399 "SAFRAN - MARKET VALUE" "FR0000073272"  74 7260.48 "SAFRAN" 2008 17546
1 17400 "SAFRAN - MARKET VALUE" "FR0000073272"  75 7348.05 "SAFRAN" 2008 17546
1 17401 "SAFRAN - MARKET VALUE" "FR0000073272"  76 7494.01 "SAFRAN" 2008 17546
1 17402 "SAFRAN - MARKET VALUE" "FR0000073272"  77 7506.53 "SAFRAN" 2008 17546
1 17405 "SAFRAN - MARKET VALUE" "FR0000073272"  78 7523.21 "SAFRAN" 2008 17546
1 17406 "SAFRAN - MARKET VALUE" "FR0000073272"  79 7377.24 "SAFRAN" 2008 17546
1 17407 "SAFRAN - MARKET VALUE" "FR0000073272"  80 7306.35 "SAFRAN" 2008 17546
1 17408 "SAFRAN - MARKET VALUE" "FR0000073272"  81 7456.48 "SAFRAN" 2008 17546
1 17409 "SAFRAN - MARKET VALUE" "FR0000073272"  82 7227.11 "SAFRAN" 2008 17546
1 17412 "SAFRAN - MARKET VALUE" "FR0000073272"  83 7218.78 "SAFRAN" 2008 17546
1 17413 "SAFRAN - MARKET VALUE" "FR0000073272"  84  7214.6 "SAFRAN" 2008 17546
1 17414 "SAFRAN - MARKET VALUE" "FR0000073272"  85 7118.68 "SAFRAN" 2008 17546
1 17415 "SAFRAN - MARKET VALUE" "FR0000073272"  86 7298.01 "SAFRAN" 2008 17546
1 17416 "SAFRAN - MARKET VALUE" "FR0000073272"  87 7122.86 "SAFRAN" 2008 17546
1 17419 "SAFRAN - MARKET VALUE" "FR0000073272"  88 7022.77 "SAFRAN" 2008 17546
1 17420 "SAFRAN - MARKET VALUE" "FR0000073272"  89 7097.83 "SAFRAN" 2008 17546
1 17421 "SAFRAN - MARKET VALUE" "FR0000073272"  90 7047.79 "SAFRAN" 2008 17546
1 17422 "SAFRAN - MARKET VALUE" "FR0000073272"  91 7114.52 "SAFRAN" 2008 17546
1 17423 "SAFRAN - MARKET VALUE" "FR0000073272"  92 6997.75 "SAFRAN" 2008 17546
1 17426 "SAFRAN - MARKET VALUE" "FR0000073272"  93 6889.32 "SAFRAN" 2008 17546
1 17427 "SAFRAN - MARKET VALUE" "FR0000073272"  94 6914.34 "SAFRAN" 2008 17546
1 17428 "SAFRAN - MARKET VALUE" "FR0000073272"  95 7010.26 "SAFRAN" 2008 17546
1 17429 "SAFRAN - MARKET VALUE" "FR0000073272"  96 6872.64 "SAFRAN" 2008 17546
1 17430 "SAFRAN - MARKET VALUE" "FR0000073272"  97 6918.51 "SAFRAN" 2008 17546
1 17433 "SAFRAN - MARKET VALUE" "FR0000073272"  98 6814.26 "SAFRAN" 2008 17546
1 17434 "SAFRAN - MARKET VALUE" "FR0000073272"  99 6939.37 "SAFRAN" 2008 17546
1 17435 "SAFRAN - MARKET VALUE" "FR0000073272" 100 7026.94 "SAFRAN" 2008 17546
end