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Dear Eview users,

I am currently writing my master thesis and dealing with some methodological/technical problems. After reading many of the posts on panel data, including that of Gareth on multiple ways to build panel data from excel, I still am confused about how to create panel data in Eviews from my excel dataset. Therefore I decided to explain to you my problem.

Let me explain to you my problem:

I try to estimate wether the market is efficient after a event of 10% increase or decrease in stock prices of banks (sample: 13 countries, 710 banks over 7 years (2006-2012), daily. This means that I have return data on 710 banks for 7 years daily. Moreover, I would like to check only the abnormal return for day t=1, 2 and 3. Therefore I will create dummies for those days. I also want to include dummy variables for pre-crisis and crisis period (15th sept 2008 break date) and for the country in which the banks are listed.

Regression: A(R) = a1 + B1 Dummyday1 + B2 Dummyday2 + B3 Dummyday3 + B4 Dummycountry + B5 Dummycrisis + e

The data is extracted from Thompson Datastream and organised in columns for the companies and rows for each date. I will also created seperate worksheets for the creation of the dummy variables for day 1,2 and 2 - based on wether the returns increased or decreased by 10% in one day and the dummy variables for crisis/noncrisis.

Concluding, my main problem is the structure of the excel worksheet and especially the dummy variables. How can I best structure my data in excel to create panel data in eviews?
I attached a printscreen of my dataset of the returns in the way it is structured now.

Thank you in advance!! :)

Eva

For EViews 7, you're probably best of just transposing the Excel file in Excel, then opening the transposed data into EViews.

Thank you!
I already tried transposing the data and importing it to Eviews. When I did this I experienced problems with the cross-section identifiers.

Moreover, do you also have a tip on how to include those dummy variables in Eviews, for t=1, t=2 and t=3. Since I only need the data of those dates in my regression.

Kind regards,
Eva

Oke: So create the dummy variables in Eviews rather than importing them from excel.

Moreover, I tried transposing the data and importing according to http://forums.eviews.com/viewtopic.php?f=7&t=74
However, the codes that are in the excel documents are ISIN numbers for each specific company (total 660 companies). This means that I cannot take one of the pre-specified examples that are given in the other topic. The worksheet after importing into Eviews 7 looks like this:

As you can see, I am still a bit confused. I hope you can help me.

Kind regards!

In addition to my previous question, can I do something like this as well? I tried but it did not work. How can I adjust my data and the process to fit?
http://www.youtube.com/watch?v=4XHTOITN ... tube_gdata

Provide your files.

Dear Eviews users,

I'm also having problems creating a dummy in my panel data. In my Tweets and Quotesdf are the tweets of 98 stocks and the first differenced stock quotes. Now I want to establish a dummy for the Google tweets & stocks since I'm hoping that my data will then be normally distributed. Can someone help me?

Thanks in advance for your time, very much appreciated!