Dear all,

I am interested to study the impact of monetary policy changes on the stock market return over the last 20 years.

the list of my variables for linear regression in an event study model is:
date event date DAX index Conventional surprise pre-crisis Expected change crisis Expected change pre-crisis Conventional surprise crisis MSCI world index crisis
1990/01/01 1 100 0
... 0 101 0
2020/12/30 0 102 1

1- "return of the DAX index" as my dependent variable;
2- "event dates or policy announcement dates" as the treatment variable which takes 1 when the event occurs in total 272 events;
3- "MSCI world index" and "crisis dummy" as The vector of control variables;
4- "Conventional surprise pre-crisis", "Expected change pre-crisis", Conventional surprise crisis", "Expected change crisis" as my independent variables.

my model:

return of the DAX index = constant + Conventional surprise pre-crisis + Expected change pre-crisis + Conventional surprise crisis + Expected change crisis + The vector of control variables+ residual

I was recommended to use "bacondecomp module" which shows a Bacon decomposition of difference-in-differences estimation with variation in treatment timing. The two-way fixed effects DD model is a weighted average of all possible two-group/two-period DD estimators. The command generates a scatterplot of 2x2 difference-in-difference estimates and their associated weights. The data must be xtset and the variable list must include an outcome as the first item, and a treatment that can only turn from zero to one during the time period examined as its second item.https://ideas.repec.org/c/boc/bocode/s458676.html

my question is that how can I use xtset data structure? because I don't have a factor variable that has different categories within the variable (like company1, comapy2, campany3, ...). my data is a time series for all of my variables and my dependent variable is just the return of the DAX index value (times series).

can someone please help me with this question?

thank you so much,
Shahrzad