问问Princeton里event study关于停牌处理

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下面是princeston event study的code
http://dss.princeton.edu/online_help/analysis/eventstudy.html

其中未考虑到在事件那天股市休盘或者那个股票停牌   对应到princeton中的程序段应该在：

use acqstockprice_3,replace
sort group_id stockdate
by group_id: gen datenum=_n
by group_id: gen target=datenum if stockdate==event_date //Cautious here:may not on the trading day or the stock is suspended on that day.
egen td=min(target),by(group_id)
drop target
gen dif=datenum-td // dif: count the number of days from the observation


注意我们该怎么把蓝色修改一下 做一个循环 使得程序找不到stockdate==event_date时，这个产生的target不是空值？

欢迎各位回答, 提出好的解

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关键词：event study princeton PRINCE study Event number target count 程序

想增加一个循环让它找到离event_day 最近的trading day

gen double d=abs(event_day-trading_day)
egen double x= min(d), by(group_id)
gen evt_dat_near_t_day =trading_day if x==d

?

jjjj6666 发表于 2014-2-16 23:36
gen double d=abs(event_day-trading_day)
egen double x= min(d), by(group_id)
gen evt_dat_near_t_day ...

Much thanks, will take a look.

jjjj6666 发表于 2014-2-16 23:36
gen double d=abs(event_day-trading_day)
egen double x= min(d), by(group_id)
gen evt_dat_near_t_day ...

I solve the problem like this:

gen absdif=abs(stockdate-event_date)
egen abstd=min(absdif),by(group_id)
replace dif=abstd-absdif if dif==. & event_date>=stockdate
replace dif=absdif-abstd if dif==. & event_date<stockdate

jjjj6666 发表于 2014-2-16 23:36
gen double d=abs(event_day-trading_day)
egen double x= min(d), by(group_id)
gen evt_dat_near_t_day ...

Hi, I met a new obstable when running the regression below, the error is shown as above.
The reason is, in some certain cases, the first row of the return is empty (something wrong with the data), but the security info of the first stockdate often would not be used in the regression, but stata shows "no observations".

How could i jump it or neglect it? I tried to drop id=194, but it does not work.

gen predicted_return=.egen id=group(company_id)  /* for multiple event dates, use: egen id = group(group_id) */forvalues i=1(1)N { /*note: replace N with the highest value of id */         l id company_id if id==`i' & dif==0        reg ret market_return if id==`i' & estimation_window==1         predict p if id==`i'        replace predicted_return = p if id==`i' & event_window==1         drop p}

if you want to ignore the error, try using "cap" in font of reg or the command resulted that error

楼主好，我现在想看这个东西，链接我打不开，所以能不能麻烦你把这个代码和数据给我下。584912990@qq.com  

楼主，我做的是停牌的研究，所以我想把事件窗口设置为每只股票的停复牌整个时间段，即有两个事件日期，这种情况的代码怎么写呢，

感激不尽~