EViews.com

Posted: **Wed Jul 28, 2010 7:36 am**

Hello,
I am new to Eview(7), though I have been going throught the manual.
I am trying to run a one-step regression for an Event Study using dummy variables in order to capture Abnormal Returns *(ARs) during Event Period. My model is the in the form:
Rft - rf = αi + βi (Rmt - rft ) + ∑_(τ=1)^T γiτ Di,τ,t + εit

Where γ which is the coefficent of the dummy variable measures the ARs.
I have the other variables ready, how do I set the Dummy to be equal to 1 during the Event Period and 0 otherwise, when inputting into the Eviews.

Thank You.

Posted: **Wed Jul 28, 2010 8:17 am**

First step, set all the values of the dummy equal to zero.

Code: Select all

series dummy = 0

Second step two ways:
a) Double click on the series DUMMY and edit it by typing in 1's during the event window.

or

b) Set the sample to the event window and set DUMMY=1

Code: Select all

smpl first_date_in_window last_date_in_window
dummy = 1
smpl @all

Posted: **Fri Jul 30, 2010 3:25 am**

Thanks. It worked okay!

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Estimating Abnormal Returns with Dummy Variables

Estimating Abnormal Returns with Dummy Variables

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