Search found 8 matches
- Sun Jul 16, 2017 3:30 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
Something like this: smpl @all series temp = win for !i=1 to @obsrange if temp(!i)=1 then temp(!i)=0 %enddate = @otod(!i) %startdate = @otod(!i-99) smpl {%startdate} {%enddate} equation eq_!i.ls LOG_Returns c LOG_Returns(-1) WMP(-1) WMP WMP(+1) !i=0 endif next would work, but you have some data iss...
- Sat Jul 15, 2017 10:48 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
Something like this: smpl @all series temp = win for !i=1 to @obsrange if temp(!i)=1 then temp(!i)=0 %enddate = @otod(!i) %startdate = @otod(!i-99) smpl {%startdate} {%enddate} equation eq_!i.ls LOG_Returns c LOG_Returns(-1) WMP(-1) WMP WMP(+1) !i=0 endif next would work, but you have some data iss...
- Sat Jul 15, 2017 9:00 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
mikaldj wrote:EViews Gareth wrote:I still can't quiet visualise how the data are structured. Could you provide the Excel file?
Yes. In this excel file we have already matched the dates between log returns and market return.
EDIT "Column C should be removed"
- Sat Jul 15, 2017 8:58 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
EViews Gareth wrote:I still can't quiet visualise how the data are structured. Could you provide the Excel file?
Yes. In this excel file we have already matched the dates between log returns and market return.
- Sat Jul 15, 2017 8:04 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
So the events are common across cross-sections? (I think they have to be, but want to be sure) I must add: We have dates for LOG_returns in column B and we have added a new column C, with the dates of the market return. We have used a VLOOKUP formula in excel to have these dates mach eachother. How...
- Sat Jul 15, 2017 8:01 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
EViews Gareth wrote:So the events are common across cross-sections? (I think they have to be, but want to be sure)
Yes
- Sat Jul 15, 2017 7:51 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Re: Setting Estimation Window / Estimation Period in Event Study
How/where are the events stored? We have organized the data in excel as: A B C D E F G-K Country 1 Date LOG_Returns WMP Event1 Event2 Mon-Thur . . Country 2 Date LOG_Returns WMP Event1 Event2 Mon-Thur . . Country 7 Date LOG_Returns WMP Event1 Event2 Mon-Thur . . For Event1, Event2 and Mon-Thur we h...
- Sat Jul 15, 2017 6:54 am
- Forum: Programming
- Topic: Setting Estimation Window / Estimation Period in Event Study
- Replies: 11
- Views: 7383
Setting Estimation Window / Estimation Period in Event Study
Hi! We are currently working with an event study and experience some problems with setting estimation period. We are running the following regression as Cross-Section SUR (PCSE): LOG_Returns c LOG_Returns(-1) WMP(-1) WMP WMP(+1) Monday Tuesday Wednesday Thursday , where LOG_Returns represent index r...