Variable which is changing in the range (e.g. _n-20/_n+20)

[Raphael Gallen]

Hi there,

I am desperately looking for way to solve this problem!
I have a large dataset downloaded from CRSP containing shareprices and dates in order to run an Event study.
I had download the data for a long time Periode and want to drop all data outside of the estimation window.
Here Comes the Problem: Since some companies have more than one Event, I cannot just combine Company Name and date of the Event.
the set looks as follows:

Date Company Eventdate
12.3.2000 XXX 0
13.3.2000 XXX 0
14.3.2000 XXX 1
15.3.2000 XXX 0
16.3.2000 XXX 0
17.3.2000 XXX 0
12.3.2000 VVV 0
13.3.2000 VVV 0
14.3.2000 VVV 0
15.3.2000 VVV 0
16.3.2000 VVV 0
17.3.2000 VVV 1
18.3.2000 VVV 0
....
(about 3Mio obs, and many cases, where one Company has several eventdates)

Now I Need to create a dummy variable to show whether an observation is in the estimation window.
My idea was to generate a variable (estimation_window) by an if-syntax, checking whether this observation is in a certain range around the eventdate.

gen estimation_window=1 if Eventdate=1 in _n+100/_n-100 ...such that the range is always 200 observations around the current observation.

But this command is not working: invalid observation number
Is there an other way to make the range dependent on the observation, I am currently in?

I would be very grateful to get any advise!

Thanks alot!!

Raphael Gallen,
Switzerland

[Raphael Gallen]

I used now this code: gen estimation_wind = 1 if ceo_turnover_date_1[_n]==1 |ceo_turnover_date_1[_n+1]==1 |ceo_turnover_date_1[_n+2]==1...
it is very long, but fits to the purpose

[Robert Picard]

You can do this using rangestat (from SSC). The following example shows how to tag observations if there is an event within +/- 3 days from the date of the observation:

* Example generated by -dataex-. To install: ssc install dataex
clear
input long Company float(Date Eventdate)
1 14616 0
1 14617 0
1 14618 0
1 14619 0
1 14620 1
1 14621 0
1 14622 0
1 14623 0
1 14624 0
1 14625 0
2 14628 0
2 14630 1
2 14631 0
2 14632 0
2 14633 0
2 14634 0
end

rangestat (max) Eventdate, interval(Date -3 3) by(Company)

list, sepby(Company)

and the results:

. list, sepby(Company)

     +---------------------------------------+
     | Company    Date   Eventd~e   Eventd~x |
     |---------------------------------------|
  1. |       1   14616          0          0 |
  2. |       1   14617          0          1 |
  3. |       1   14618          0          1 |
  4. |       1   14619          0          1 |
  5. |       1   14620          1          1 |
  6. |       1   14621          0          1 |
  7. |       1   14622          0          1 |
  8. |       1   14623          0          1 |
  9. |       1   14624          0          0 |
 10. |       1   14625          0          0 |
     |---------------------------------------|
 11. |       2   14628          0          1 |
 12. |       2   14630          1          1 |
 13. |       2   14631          0          1 |
 14. |       2   14632          0          1 |
 15. |       2   14633          0          1 |
 16. |       2   14634          0          0 |
     +---------------------------------------+

[Raphael Gallen]

Wow Robert, I did not find that function for days!
Thanks alot!!

[Nick Cox]

See https://www.statalist.org/forums/for...dow-with-loops for a recent example with the same question and the same solution.

(Strictly, rangestat is a command, not a function.)