Dear statalist,
I am trying to use the estudy2 command

This is the command I run
eventstudy2 set date using security_returns, returns(security_returns) model(MA) marketfile(security_returns) marketreturns(market_return)

Stata issued the error message hereafter ;

Generating dateline ...
...succeeded
Preparation of event list ...
...succeeded
Preparation of security return data...
...succeeded
Preparation of market and/or factor return data...
...succeeded
set is int in using data
r(106);

The error seems to say that the variable set is not on the right format in one of the dataset however it is in numeric in the two datastet.

Here are the 2 datastets

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[CODE]
* Example generated by -dataex-. To install: ssc install dataex
clear
input str13 company_id str10 DATE int set long date
"FR0000121261" "17/06/2009" 1 18065
"FR0000120271" "10/03/2009" 2 17966
"FR0000120271" "30/06/2009" 3 18078
"FR0000031122 " "13/02/2009" 4 17941
"FR0000031122 " "15/04/2009" 5 18002
"FR0000031122 " "04/09/2009" 6 18144
"FR0000120073" "18/10/2009" 7 18188
"FR0010313833" "22/10/2009" 8 18192
"FR0000130007" "11/02/2009" 9 17939
"FR0000071946" "18/10/2009" 10 18188
"AT0000837307." "26/05/2009" 11 18043
"FR0000034639" "18/06/2009" 12 18066
"LU0323134006 " "07/04/2009" 13 17994
"FR0000051732" "18/02/2009" 14 17946
"FR0000035164" "02/04/2009" 15 17989
"FR0000121568" "26/06/2009" 16 18074
"FR0000131757" "05/08/2009" 17 18114
"FR0000121147" "05/02/2009" 18 17933
"FR0004076891" "06/03/2009" 19 17962
"FR0000133308" "04/03/2009" 20 17960
"FR0000063935" "27/08/2009" 21 18136
"US37045V1008" "04/09/2009" 22 18144
"FR0004061513" "23/01/2009" 23 17920
"FR0000121485" "11/02/2009" 24 17939
"FR0000052680" "05/02/2009" 25 17933
"FR0000120321" "17/02/2009" 26 17945
"FR0011476928" "18/02/2009" 27 17946
"FR0000121485" "05/10/2009" 28 18175
"FR0000038606" "05/04/2009" 29 17992
"FR0000032278" "16/09/2009" 30 18156
"FR0000121014" "06/02/2009" 31 17934
"FR0000064941" "15/06/2009" 32 18063
"FR0000044448 " "22/04/2009" 33 18009
"FR0010240994" "13/02/3009" 34 383183
"FR0000053514" "16/04/2009" 35 18003
"FR0000051377" "25/03/2009" 36 17981
"FR0010479956" "20/03/2009" 37 17976
"FR0000064255" "31/01/2009" 38 17928
"FR0000125007" "08/09/2009" 39 18148
"FR0000073272" "09/07/2009" 40 18087
"FR0000120578" "30/06/2009" 41 18078
"AN8068571086" "23/03/2009" 42 17979
"FR0000121972 " "29/01/2009" 43 17926
"FR0000121709" "11/02/2009" 44 17939
"FR0000063364" "27/07/2009" 45 18105
"FR0013227113" "02/04/2009" 46 17989
"FR0000131732" "29/01/2009" 47 17926
"FR0000054199" "16/06/2009" 48 18064
"FR0000121329 " "01/07/2009" 49 18079
"DE0007500001" "23/02/2009" 50 17951
"FR0000051807" "16/06/2009" 51 18064
"FR0013176526" "15/01/2009" 52 17912
"FR0000077570" "09/01/2009" 53 17906
"FR0010759530" "16/05/2009" 54 18033
"FR0000120271" "21/01/2010" 55 18283
"FR0013018124" "01/12/2010" 56 18597
"FR0000035784" "23/02/2010" 57 18316
--more--



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[CODE]
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(event_obs tradeday) str10(event_date date_l) int(set day) double price int(date day2) str10 date_market double(market security_returns market_return) str61 name str13 company_id float group_id
0 1 "17/06/2009" "10/10/2008" 1 1 582.5800170898438 17815 1 "10/10/2008" 3697.090087890625 . . "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 2 "17/06/2009" "13/10/2008" 1 2 653.6300048828125 17818 2 "13/10/2008" 4094.969970703125 .12195747486823194 .10761974237947514 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 3 "17/06/2009" "14/10/2008" 1 3 657.1799926757813 17819 3 "14/10/2008" 4212.18017578125 .005431188541604959 .02862297059970853 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 4 "17/06/2009" "15/10/2008" 1 4 611.4199829101563 17820 4 "15/10/2008" 3931.300048828125 -.06963086258805296 -.066682837682989 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 5 "17/06/2009" "16/10/2008" 1 5 585.5599975585938 17821 5 "16/10/2008" 3704.97998046875 -.042294962667849934 -.057568759837305805 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 6 "17/06/2009" "17/10/2008" 1 6 589.6099853515625 17822 6 "17/10/2008" 3857.8798828125 .006916435224152195 .04126875263828156 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 7 "17/06/2009" "20/10/2008" 1 7 611 17825 7 "20/10/2008" 3986.0400390625 .03627824355057929 .03322035940542767 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 8 "17/06/2009" "21/10/2008" 1 8 621.0900268554688 17826 8 "21/10/2008" 4017 .016513955573598693 .007767097328199801 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 9 "17/06/2009" "22/10/2008" 1 9 585.7100219726563 17827 9 "22/10/2008" 3822.679931640625 -.05696437449163172 -.04837442578027762 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 10 "17/06/2009" "23/10/2008" 1 10 534.8400268554688 17828 10 "23/10/2008" 3827.719970703125 -.08685184341879393 .0013184569863626816 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 11 "17/06/2009" "24/10/2008" 1 11 496.260009765625 17829 11 "24/10/2008" 3686.260009765625 -.07213375056588522 -.036956716275019175 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 12 "17/06/2009" "27/10/2008" 1 12 456.260009765625 17832 12 "27/10/2008" 3541.489990234375 -.08060290817890259 -.03927287254499845 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 13 "17/06/2009" "28/10/2008" 1 13 469.1199951171875 17833 13 "28/10/2008" 3596.139892578125 .02818565089271896 .01543133045538636 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 14 "17/06/2009" "29/10/2008" 1 14 507.9800109863281 17834 14 "29/10/2008" 3908.340087890625 .08283598284791349 .08681536442918492 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 15 "17/06/2009" "30/10/2008" 1 15 548.97998046875 17835 15 "30/10/2008" 3928.169921875 .08071177722685108 .005073722741225861 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 16 "17/06/2009" "31/10/2008" 1 16 570 17836 16 "31/10/2008" 4017.610107421875 .03828922780262767 .02276891970706374 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 17 "17/06/2009" "03/11/2008" 1 17 565.739990234375 17839 17 "03/11/2008" 4067.10009765625 -.0074737013432018 .012318266061445371 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 18 "17/06/2009" "04/11/2008" 1 18 616.5399780273438 17840 18 "04/11/2008" 4252.89013671875 .0897938782300387 .04568120641278672 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 19 "17/06/2009" "05/11/2008" 1 19 631.3900146484375 17841 19 "05/11/2008" 4170.10986328125 .0240860887376797 -.01946447492795278 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 20 "17/06/2009" "06/11/2008" 1 20 580.3099975585938 17842 20 "06/11/2008" 3908.260009765625 -.08090089470022022 -.06279207553289457 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 21 "17/06/2009" "07/11/2008" 1 21 578.739990234375 17843 21 "07/11/2008" 3994.10009765625 -.0027054631676585172 .021963760772347518 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 22 "17/06/2009" "10/11/2008" 1 22 591.030029296875 17846 22 "10/11/2008" 4040.75 .021235855945470172 .011679702862510632 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 23 "17/06/2009" "11/11/2008" 1 23 546.2000122070313 17847 23 "11/11/2008" 3860.070068359375 -.07585065879508057 -.044714454405896165 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 24 "17/06/2009" "12/11/2008" 1 24 525.5999755859375 17848 24 "12/11/2008" 3751.1298828125 -.03771518886983383 -.02822233369281224 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
0 25 "17/06/2009" "13/11/2008" 1 25 528.0900268554688 17849 25 "13/11/2008" 3780.0400390625 .004737540687203001 .0077070528489202594 "CMPG.DES ETS.MICH. - TOT RETURN IND" "FR0000121261" 90
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Thanks a lot of your help,

Najiba