Hello everyone
I am using the powerful command, eventstudy2 (Thomas Kaspereit, 2020) for a global event study. I was surprised to find that Stata does not generate results for all Mondays but works well for other dates. For every Monday, there is no result for [0,0] and [0,1], but have results for [-1,0]. I have tried many specifications but have not found a good solution. This is my code:
eventstudy2 security_id date using RT_F, ret(security_returns) model(FM) marketfile(RMT) marketreturns(market_returns) idmar(market_id) evwlb(-1)evwub(5) eswlb(-200) eswub(-30) minesw(30) shift(3) car1LB(0) car1UB(0) car2LB(0) car2UB(1) car3LB(0) car3UB(2) car4LB(0) car4UB(3) car5LB(0) car5UB(4) car6LB(0) car6UB(5) car7LB(-1) car7UB(0) car8LB(-1) car8UB(1)
Thanks in advance!
Best wishes,
Lynn
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