I have a data that looks as follow . Post1 = 0 is collapsed mean of date -45 to -1 for the event date, post = 1 is collapsed mean of date 0 or the event date and post = 2 is collapsed mean of 1 to 45 after the event date. Surp is a surprise that is measured by actual - estimate / actual. So I have the form (numbers are arbitrary)
county_F event SURP POST1 y EA POST
1012 5/12 50 0 90 0 0
1012 5/12 50 1 95 1 0
1012 5/12 50 2 100 0 1
1012 8/12 45 0 80 0 0
1012 8/12 45 1 85 1 0
1012 8/12 45 2 78 0 1
My regression of interest is
y_{county, rdq} = surp + EA + POST + SURP#EA + SURP#POST.
to see where positive surprise effects my y. It felt like running the data above would create some trouble as all I am doing here is repeating the same data 3 times.
Now, I adjusted the data in the following form because the previous data was repeating exactly the same data 3 times (just different y) so I now have
county_F event SURP y0 y1 y 2
1012 5/12 40 90 95 100
1012 8/12 45 80 85 78
1012 11/12 47 x y z
Where y0 = pre event day y,y1 = on event day and y2 = post event day y
I have been thinking a while to figure out how to run the event study regression of this form. I tried regressing spending 0 , 1, 2 as the dependent variable but it does not seem like a event study anymore...and I don't think this is the ideal way to run this!
What are your thoughts? How can I use my new data to create an event study. Or would running the data on my old data make more sense?
Related Posts with Event Study Using earnings announcement date
Exporting two sample t test to word with Significance starsHi All, Is there any way of exporting a two sample t test to word with the correct significance sta…
Propensity Score Matching (PSM) to match firms in a specific yearDear Statalist, I have a panel dataset of firms going from 2008 to 2018. The dataset is made up of:…
Codes for Pre-and-Post firm yearsDear Stata Community, I am very new to econometrics. I wish to examine the impact of X variable on t…
meologit and time variableI've a problem. I'm trying to find out if the changes in municipal resources have an impact on indiv…
GMM code error-messageDear Stata Users, I have been trying to run a GMM code but I don't know what's wrong with it becaus…
Subscribe to:
Post Comments (Atom)
0 Response to Event Study Using earnings announcement date
Post a Comment