在运行data 时，CAR 在Even Window里全部相同 不知道哪里出了问题！TAT

跪求大神帮忙解惑！！


下面是我的do dile:


destring date, ignore("/") replace

gen day_cnt=_n
gen target_day=day_cnt if date==18092015

egen max_target_day=max(target_day)
gen evday=day_cnt-max_target_day
sort evday
* Define event window, relative to target date.Change numbers in following line as desired.

gen evt_window=1 if evday>=-8&evday<=8
egen count_evt_obs=count(evt_window)


gen est_window=1 if evday<=-9&evday>=-14

egen count_est_obs=count(est_window)

replace evt_window=0 if evt_window==.
replace est_window=0 if est_window==.
setmore off
****Estimation***************************************

reg rstock rmkt if est_window==1
* retrieve root mean square error

capture drop rmse
gen rmse= e(rmse)

capture drop pred_rtn
gen pred_rtn=.

predict p
replace pred_rtn = p if evt_window==1
drop p

***Abnormal/Cumulative Returns***

sort evday
capture drop ab_ret
capture drop cum_ab_ret
gen ab_ret=rstock-pred_rtn if evt_window==1
egen cum_ab_rtn = sum(ab_ret)