Hello,

I am currently working with eventwindow2 and tried to estimate an event period larger than +20 days after the event date. However, the upper limit seems to be set at 20.

Probably easiest to show/replicate it with the raw returns model.

Code
Code:
eventstudy2 LPERMNO date using "file.dta" if MA_DUMMY == 1, returns(RET) model(RAW) car1LB(1) car1UB(25) replace
This yields period [1;20] in the respective output files.

Is +20 as maximum upper bound an intentional limit or am I making some mistake?

Code:
* Example generated by -dataex-. For more info, type help dataex
clear
input double(LPERMNO date RET) float MA_DUMMY
10078 17741 -.046979933977127075 0
10078 17742  .027163024991750717 0
10078 17743  .005876632872968912 0
10078 17744  .035053517669439316 0
10078 17745  -.12323616445064545 1
10078 17748  -.01180253829807043 0
10078 17749  .056460313498973846 0
10078 17750   .04727647081017494 0
10078 17751  .031403400003910065 0
10078 17752 -.024738365784287453 0
10078 17755  .024390242993831635 0
10078 17756  .020000003278255463 0
10078 17757 -.019607847556471825 0
10078 17758    .0028571174480021 0
10078 17759  .031339023262262344 0
10078 17762  -.04143644869327545 0
10078 17763  -.02209409698843956 0
10078 17764 -.013752489350736141 0
10078 17765  -.00996019784361124 0
10078 17766  .006036259699612856 0
10078 17769   -.0350000374019146 0
10078 17770 -.011398928239941597 0
10078 17771  -.07127885520458221 0
10078 17772  .027088118717074394 0
10078 17773  -.01098905224353075 0
10078 17777                    0 0
10078 17778 -.011111153289675713 0
10078 17779 -.035955023020505905 0
10078 17780 -.009324000217020512 0
10078 17783   .03411764279007912 0
10078 17784 -.023890789598226547 0
10078 17785   .04079258441925049 0
10078 17786  .014557682909071445 0
10078 17787  .036423832178115845 0
10078 17790  -.06496278941631317 0
10078 17791 -.041002240031957626 0
10078 17792  -.07363419234752655 0
10078 17793   .03974352031946182 0
10078 17794   .07768189162015915 0
10078 17797  -.12013726681470871 0
10078 17798   .00910275336354971 0
10078 17799  .007731951307505369 0
10078 17800   .01790279522538185 0
10078 17801  -.04020102694630623 0
10078 17804   -.1164921298623085 0
10078 17805    .1259259134531021 0
10078 17806  -.01447370182722807 0
10078 17807  -.07743657380342484 0
10078 17808  -.02315482683479786 0
10078 17811 -.022222235798835754 0
10078 17812   -.1045454666018486 0
end
format %td date

Best,

Jakob