Hi, I have 5/6 years of data from several companies from different industries. How do I combine it for panel data analysis using Stata?
Est./Event Window Date Market Price Rmt Stock Price R %Stock %Market Bid Price Ask Price PS
61 1-Aug-19 1639.06706 0.00257 1.05 0.0000 0.0000 0.0026 1.03 1.05 1.10
60 31-Jul-19 1634.86517 -0.00477 1.05 (0.0189) (0.0187) (0.0048) 1.04 1.05 1.10
59 29-Jul-19 1642.68923 -0.00320 1.07 (0.0093) (0.0093) (0.0032) 1.05 1.07 1.14
58 26-Jul-19 1647.96245 -0.00522 1.08 0.0000 0.0000 (0.0052) 1.07 1.08 1.16
57 25-Jul-19 1656.58391 0.00252 1.08 0.0282 0.0286 0.0025 1.08 1.09 1.18
56 24-Jul-19 1652.41200 -0.00197 1.05 0.0096 0.0096 (0.0020) 1.04 1.05 1.10
55 23-Jul-19 1655.66925 0.00016 1.04 (0.0096) (0.0095) 0.0002 1.04 1.05 1.10
54 22-Jul-19 1655.39698 -0.00169 1.05 0.0000 0.0000 (0.0017) 1.04 1.05 1.10
53 19-Jul-19 1658.18952 0.00560 1.05 (0.0095) (0.0094) 0.0056 1.04 1.05 1.10
52 18-Jul-19 1648.92563 -0.00521 1.06 0.0000 0.0000 (0.0052) 1.05 1.06 1.12
51 17-Jul-19 1657.53114 -0.00686 1.06 0.0190 0.0192 (0.0068) 1.05 1.06 1.12
50 16-Jul-19 1668.93918 -0.00205 1.04 (0.0096) (0.0095) (0.0021) 1.03 1.04 1.08
49 15-Jul-19 1672.36831 0.00175 1.05 0.0000 0.0000 0.0017 1.04 1.05 1.10
48 12-Jul-19 1669.44883 -0.00586 1.05 (0.0189) (0.0187) (0.0058) 1.05 1.06 1.12
47 11-Jul-19 1679.25721 0.00017 1.07 (0.0546) (0.0531) 0.0002 1.06 1.07 1.14
46 10-Jul-19 1678.97279 -0.00232 1.13 0.0089 0.0089 (0.0023) 1.12 1.13 1.26
45 9-Jul-19 1682.87056 0.00311 1.12 0.0000 0.0000 0.0031 1.11 1.12 1.24
44 8-Jul-19 1677.63755 -0.00291 1.12 (0.0089) (0.0088) (0.0029) 1.11 1.12 1.24
43 5-Jul-19 1682.52855 -0.00294 1.13 0.0089 0.0089 (0.0029) 1.11 1.13 1.26
42 4-Jul-19 1687.48177 -0.00152 1.12 0.0090 0.0090 (0.0015) 1.12 1.13 1.26
41 3-Jul-19 1690.04643 -0.00056 1.11 0.0000 0.0000 (0.0006) 1.11 1.12 1.24
40 2-Jul-19 1690.99623 0.00437 1.11 0.0274 0.0278 0.0044 1.10 1.11 1.22
39 1-Jul-19 1683.62424 0.00685 1.08 (0.0092) (0.0092) 0.0069 1.08 1.09 1.18
38 28-Jun-19 1672.12849 -0.00034 1.09 0.0092 0.0093 (0.0003) 1.08 1.09 1.18
37 27-Jun-19 1672.69907 -0.00107 1.08 0.0093 0.0093 (0.0011) 1.07 1.08 1.16
36 26-Jun-19 1674.48565 -0.00127 1.07 (0.0093) (0.0093) (0.0013) 1.06 1.08 1.16
35 25-Jun-19 1676.61245 0.00029 1.08 (0.0092) (0.0092) 0.0003 1.07 1.08 1.16
34 24-Jun-19 1676.13394 -0.00363 1.09 (0.0091) (0.0091) (0.0036) 1.08 1.09 1.18
33 21-Jun-19 1682.22563 0.00404 1.10 0.0000 0.0000 0.0041 1.09 1.10 1.20
32 20-Jun-19 1675.43498 0.00532 1.10 0.0277 0.0280 0.0053 1.09 1.10 1.20
31 19-Jun-19 1666.53766 0.00830 1.07 (0.0093) (0.0093) 0.0083 1.07 1.08 1.16
30 18-Jun-19 1652.75957 0.00872 1.08 0.0000 0.0000 0.0088 1.07 1.08 1.16
29 17-Jun-19 1638.40345 -0.00014 1.08 (0.0092) (0.0092) (0.0001) 1.07 1.08 1.16
28 14-Jun-19 1638.62512 -0.00312 1.09 (0.0182) (0.0180) (0.0031) 1.08 1.09 1.18
27 13-Jun-19 1643.74328 -0.00424 1.11 0.0274 0.0278 (0.0042) 1.10 1.11 1.22
26 12-Jun-19 1650.73544 -0.00028 1.08 0.0187 0.0189 (0.0003) 1.07 1.08 1.16
25 11-Jun-19 1651.19732 -0.00259 1.06 0.0000 0.0000 (0.0026) 1.06 1.07 1.14
24 10-Jun-19 1655.47437 0.00372 1.06 0.0095 0.0095 0.0037 1.06 1.07 1.14
23 7-Jun-19 1649.33258 0.00318 1.05 0.0192 0.0194 0.0032 1.04 1.05 1.10
22 4-Jun-19 1644.09344 -0.00680 1.03 (0.0192) (0.0190) (0.0068) 1.03 1.05 1.10
21 3-Jun-19 1655.30991 0.00275 1.05 0.0000 0.0000 0.0028 1.04 1.05 1.10
20 31-May-19 1650.76107 0.00868 1.05 (0.0189) (0.0187) 0.0087 1.05 1.07 1.14
19 30-May-19 1636.50258 0.00787 1.07 0.0094 0.0094 0.0079 1.07 1.08 1.16
18 29-May-19 1623.66821 0.00562 1.06 0.0287 0.0291 0.0056 1.06 1.07 1.14
17 28-May-19 1614.56644 0.00822 1.03 (0.0097) (0.0096) 0.0083 1.02 1.05 1.10
16 27-May-19 1601.35209 0.00189 1.04 0.0097 0.0097 0.0019 1.03 1.04 1.08
15 24-May-19 1598.32375 -0.00221 1.03 0.0000 0.0000 (0.0022) 1.02 1.03 1.06
14 23-May-19 1601.86685 -0.00117 1.03 0.0000 0.0000 (0.0012) 1.01 1.03 1.06
13 21-May-19 1603.73789 -0.00101 1.03 (0.0097) (0.0096) (0.0010) 1.03 1.05 1.10
12 17-May-19 1605.36065 0.00385 1.04 (0.0190) (0.0189) 0.0039 1.04 1.05 1.10
11 16-May-19 1599.18815 -0.00762 1.06 (0.0094) (0.0093) (0.0076) 1.05 1.06 1.12
10 15-May-19 1611.42788 0.00762 1.07 0.0094 0.0094 0.0077 1.05 1.07 1.14
9 14-May-19 1599.19021 -0.00119 1.06 0.0190 0.0192 (0.0012) 1.05 1.06 1.12
8 13-May-19 1601.09213 -0.00572 1.04 (0.0377) (0.0370) (0.0057) 1.03 1.04 1.08
7 10-May-19 1610.27282 -0.00512 1.08 (0.0183) (0.0182) (0.0051) 1.07 1.09 1.18
6 9-May-19 1618.53186 -0.00923 1.10 0.0183 0.0185 (0.0092) 1.09 1.10 1.20
5 8-May-19 1633.54799 -0.00356 1.08 (0.0183) (0.0182) (0.0036) 1.08 1.09 1.18
4 7-May-19 1639.37188 0.00402 1.10 0.0183 0.0185 0.0040 1.08 1.10 1.20
3 6-May-19 1632.80024 -0.00275 1.08 (0.0274) (0.0270) (0.0028) 1.07 1.08 1.16
2 3-May-19 1637.3033 0.00310 1.11 0.0000 0.0000 0.0031 1.10 1.11 1.22
1 2-May-19 1632.23886 -0.00614 1.11 (0.0090) (0.0089) (0.0061) 1.10 1.11 1.22
0 30-Apr-19 1642.28843 0.00298 1.12 (0.0177) (0.0175) 0.0030 1.12 1.13 1.26
-1 29-Apr-19 1637.40128 -0.00060 1.14 0.0088 0.0088 (0.0006) 1.12 1.14 1.28
-2 26-Apr-19 1638.37995 0.00165 1.13 0.0000 0.0000 0.0017 1.12 1.13 1.26
-3 25-Apr-19 1635.67895 -0.00142 1.13 0.0089 0.0089 (0.0014) 1.12 1.13 1.26
-4 24-Apr-19 1638.00664 0.00647 1.12 0.0090 0.0090 0.0065 1.11 1.12 1.24
-5 23-Apr-19 1627.4432 0.00332 1.11 (0.0179) (0.0177) 0.0033 1.11 1.13 1.26
-6 22-Apr-19 1622.05638 -0.00001 1.13 0.0360 0.0367 (0.0000) 1.13 1.14 1.28
-7 19-Apr-19 1622.06854 0.00144 1.09 0.0000 0.0000 0.0014 1.09 1.10 1.20
-8 18-Apr-19 1619.73477 -0.00072 1.09 0.0279 0.0283 (0.0007) 1.08 1.09 1.18
-9 17-Apr-19 1620.90464 -0.00526 1.06 (0.0279) (0.0275) (0.0052) 1.06 1.07 1.14
-10 16-Apr-19 1629.4572 -0.00115 1.09 0.0000 0.0000 (0.0011) 1.09 1.10 1.20
-11 15-Apr-19 1631.33047 0.00071 1.09 (0.0272) (0.0268) 0.0007 1.09 1.10 1.20
-12 12-Apr-19 1630.16701 0.00365 1.12 0.0000 0.0000 0.0037 1.11 1.12 1.24
-13 11-Apr-19 1624.23053 -0.00933 1.12 (0.0264) (0.0261) (0.0093) 1.12 1.13 1.26
-14 10-Apr-19 1639.46133 -0.00151 1.15 0.0175 0.0177 (0.0015) 1.13 1.15 1.30
-15 9-Apr-19 1641.93654 -0.00147 1.13 (0.0088) (0.0088) (0.0015) 1.13 1.14 1.28
-16 8-Apr-19 1644.35271 0.00155 1.14 0.0267 0.0270 0.0015 1.13 1.14 1.28
-17 5-Apr-19 1641.80833 -0.00199 1.11 0.0090 0.0091 (0.0020) 1.09 1.11 1.22
-18 4-Apr-19 1645.07083 0.00113 1.10 (0.0180) (0.0179) 0.0011 1.10 1.12 1.24
-19 3-Apr-19 1643.21004 0.00633 1.12 0.0000 0.0000 0.0064 1.11 1.12 1.24
-20 2-Apr-19 1632.83494 0.00256 1.12 (0.0089) (0.0088) 0.0026 1.12 1.13 1.26
-21 1-Apr-19 1628.66183 -0.00915 1.13 0.0000 0.0000 (0.0091) 1.12 1.13 1.26
-22 29-Mar-19 1643.62533 0.00140 1.13 0.0089 0.0089 0.0014 1.12 1.13 1.26
-23 28-Mar-19 1641.32506 -0.00085 1.12 0.0364 0.0370 (0.0009) 1.12 1.13 1.26
-24 27-Mar-19 1642.72735 -0.00438 1.08 (0.0364) (0.0357) (0.0044) 1.08 1.11 1.22
-25 26-Mar-19 1649.94165 0.00048 1.12 0.0272 0.0275 0.0005 1.11 1.12 1.24
-26 25-Mar-19 1649.14617 -0.01056 1.09 (0.0708) (0.0684) (0.0105) 1.09 1.10 1.20
-27 22-Mar-19 1666.65507 0.00180 1.17 0.0000 0.0000 0.0018 1.16 1.17 1.34
-28 21-Mar-19 1663.65592 -0.01228 1.17 0.0172 0.0174 (0.0122) 1.17 1.18 1.36
-29 20-Mar-19 1684.21376 -0.00205 1.15 0.0175 0.0177 (0.0021) 1.14 1.15 1.30
-30 19-Mar-19 1687.67519 -0.00193 1.13 (0.0348) (0.0342) (0.0019) 1.13 1.14 1.28
-31 18-Mar-19 1690.94325 0.00617 1.17 0.1178 0.1250 0.0062 1.17 1.18 1.36
-32 15-Mar-19 1680.53664 0.00359 1.04 0.0000 0.0000 0.0036 1.04 1.05 1.10
-33 14-Mar-19 1674.51827 -0.00222 1.04 0.0000 0.0000 (0.0022) 1.04 1.05 1.10
-34 13-Mar-19 1678.23564 0.00415 1.04 0.0097 0.0097 0.0042 1.03 1.05 1.10
-35 12-Mar-19 1671.28411 0.00399 1.03 (0.0192) (0.0190) 0.0040 1.02 1.03 1.06
-36 11-Mar-19 1664.62725 -0.00914 1.05 0.0488 0.0500 (0.0091) 1.03 1.05 1.10
-37 8-Mar-19 1679.90413 -0.00418 1.00 0.0151 0.0152 (0.0042) 1.00 1.01 1.02
-38 7-Mar-19 1686.94885 0.00007 0.99 0.0051 0.0051 0.0001 0.99 0.99 0.98
-39 6-Mar-19 1686.82266 0.00071 0.98 0.0051 0.0051 0.0007 0.98 0.98 0.96
-40 5-Mar-19 1685.62289 -0.00495 0.98 (0.0153) (0.0152) (0.0049) 0.97 0.98 0.96
-41 4-Mar-19 1693.9889 -0.00399 0.99 0.0000 0.0000 (0.0040) 0.98 0.99 0.98
-42 1-Mar-19 1700.75854 -0.00409 0.99 0.0000 0.0000 (0.0041) 0.99 0.99 0.98
-43 28-Feb-19 1707.72671 -0.00335 0.99 (0.0101) (0.0100) (0.0033) 0.99 1.00 0.99
-44 27-Feb-19 1713.451 -0.00323 1.00 0.0202 0.0204 (0.0032) 1.00 1.01 1.02
-45 26-Feb-19 1718.99847 -0.00324 0.98 (0.0051) (0.0051) (0.0032) 0.98 0.98 0.96
-46 25-Feb-19 1724.58449 0.00184 0.99 0.0051 0.0051 0.0018 0.98 0.99 0.97
-47 22-Feb-19 1721.42226 -0.00537 0.98 (0.0102) (0.0101) (0.0054) 0.98 0.99 0.97
-48 21-Feb-19 1730.68382 0.00260 0.99 0.0051 0.0051 0.0026 0.99 0.99 0.98
-49 20-Feb-19 1726.18435 0.01143 0.99 0.0051 0.0051 0.0115 0.98 1.00 0.99
-50 19-Feb-19 1706.56189 0.00813 0.98 (0.0152) (0.0151) 0.0082 0.98 0.98 0.96
-51 18-Feb-19 1692.7449 0.00232 1.00 0.0463 0.0474 0.0023 0.99 1.00 0.99
-52 15-Feb-19 1688.82537 -0.00014 0.95 0.0106 0.0106 (0.0001) 0.95 0.95 0.90
-53 14-Feb-19 1689.0609 0.00223 0.94 0.0053 0.0053 0.0022 0.94 0.94 0.88
-54 13-Feb-19 1685.29877 -0.00125 0.94 0.0162 0.0163 (0.0012) 0.93 0.94 0.87
-55 12-Feb-19 1687.40676 -0.00068 0.92 0.0054 0.0055 (0.0007) 0.92 0.93 0.86
-56 11-Feb-19 1688.5598 0.00121 0.92 0.0055 0.0055 0.0012 0.91 0.92 0.83
-57 8-Feb-19 1686.5228 -0.00407 0.91 0.0000 0.0000 (0.0041) 0.91 0.91 0.82
-58 7-Feb-19 1693.39375 0.00580 0.91 0.0166 0.0168 0.0058 0.90 0.91 0.82
-59 4-Feb-19 1683.60762 0.00004 0.90 0.0169 0.0170 0.0000 0.89 0.90 0.79
-60 31-Jan-19 1683.5336 -0.00034 0.88 0.0057 0.0057 (0.0003) 0.88 0.88 0.76