What's wong with data?

[mico chan]

Dear All,

I'm doing an event study case now and would like to calculate the CAR, but somehow I got the same CAR results of all variables...How can I make it right?
Could anyone help me please?

Here are part of the data:

date	rstock	rmkt	day_cnt	target_day	max_target_day	evday	evt_window	count_evt_obs	est_window	count_est_obs	rmse	pred_rtn	ab_ret	cum_ab_rtn	ar_sd
8082002	-2.22874	-0.37938	30		45	-15	0	17	0	6	1.028256			-30.40595	5.728559
9082002	-2.84943	-2.37722	31		45	-14	0	17	1	6	1.028256			-30.40595	5.728559
10082002	-1.51281	0.32429	32		45	-13	0	17	1	6	1.028256			-30.40595	5.728559
11082002	3.0721	2.685	33		45	-12	0	17	1	6	1.028256			-30.40595	5.728559
12082002	-2.70681	-2.71181	34		45	-11	0	17	1	6	1.028256			-30.40595	5.728559
13082002	0.750234	0.703029	35		45	-10	0	17	1	6	1.028256			-30.40595	5.728559
14082002	2.63729	1.61001	36		45	-9	0	17	1	6	1.028256			-30.40595	5.728559
15082002	2.5393	0.309207	37		45	-8	1	17	0	6	1.028256	0.206563	2.332737	-30.40595	5.728559
16082002	-1.59198	-0.89953	38		45	-7	1	17	0	6	1.028256	-1.17124	-0.42074	-30.40595	5.728559
17082002	-0.38946	-0.8509	39		45	-6	1	17	0	6	1.028256	-1.11581	0.726355	-30.40595	5.728559
18082002	-0.45113	0.080808	40		45	-5	1	17	0	6	1.028256	-0.05378	-0.39735	-30.40595	5.728559
19082002	0.81571	0.556564	41		45	-4	1	17	0	6	1.028256	0.488517	0.327193	-30.40595	5.728559
20082002	0.389571	0.383584	42		45	-3	1	17	0	6	1.028256	0.291343	0.098228	-30.40595	5.728559
21082002	-0.0597	0.023175	43		45	-2	1	17	0	6	1.028256	-0.11948	0.059775	-30.40595	5.728559
22082002	-3.6141	-3.06386	44		45	-1	1	17	0	6	1.028256	-3.63829	0.024191	-30.40595	5.728559

Many Thanks,
Best ,
Mico

[Clyde Schechter]

How can I make it right?

Well, you don't say what "it" is, so nobody can answer that question for you. Please show the code you tried, and the results you got. Then maybe somebody can correct it. As it is you're asking for corrections to imaginary code.

Perhaps somebody who knows what you mean by "CAR" could just provide code for computing it, but to most people "CAR" is something you drive, and it doesn't seem to have anything to do with your data. This is a multi-disciplinary forum: what we all know something about is Stata and statistics. But abbreviations and non-statistical technical terms, no matter how well known they may be in your discipline, should always be explained here.

Also, before re-posting, please be sure to read the FAQ, especially #12, so that you show the data in the most helpful way (-dataex-) and post your code and any output you show us in the most hepful way (code delimiters). Thank you.

[Phil Bromiley]

While I do know what you mean by CAR, I echo Clyde's points. You'll get more helpful answers if you follow the FAQ on asking questions suggests you provide Stata code in code delimiters, Stata output, and sample data using dataex. Also, assume you're writing for folks who know Stata but not your area.

Just glancing at your estimate, it is obvious you're starting to calculate the CAR from periods that look like the estimation period. You're probably calculating it over the entire time series for that firm rather than just starting with the the event.

While this isn't efficient, you probably want something like (for your 8 day window):
g CAR=ab_ret if eventday=-8
replace CAR=ab_ret + L.CAR if eventday=-7

etc. This can be dome with a loop. You could make it more flexible by having the loop use your window start instead of hard coding the 8 day window.

[Nick Cox]

Phil gives excellent advice but his = should be == when they are part of an if qualifier.