Search found 8 matches

by mikaldj
Sun Jul 16, 2017 3:30 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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...
by mikaldj
Sat Jul 15, 2017 10:48 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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...
by mikaldj
Sat Jul 15, 2017 9:00 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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"
by mikaldj
Sat Jul 15, 2017 8:58 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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.
by mikaldj
Sat Jul 15, 2017 8:04 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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...
by mikaldj
Sat Jul 15, 2017 8:01 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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 :)
by mikaldj
Sat Jul 15, 2017 7:51 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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...
by mikaldj
Sat Jul 15, 2017 6:54 am
Forum: Programming
Topic: Setting Estimation Window / Estimation Period in Event Study
Replies: 11
Views: 679

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...

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